UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
| Investment Company Act file number: | 811-05162 |
| | |
| Exact name of registrant as specified in charter: | Delaware VIP® Trust |
| | |
| Address of principal executive offices: | 610 Market Street Philadelphia, PA 19106 |
| | |
| Name and address of agent for service: | David F. Connor, Esq. 610 Market Street Philadelphia, PA 19106 |
| | |
| Registrant’s telephone number, including area code: | (800) 523-1918 |
| | |
| Date of fiscal year end: | December 31 |
| | |
| Date of reporting period: | June 30, 2023 |
| | |
Item 1. Reports to Stockholders
Semiannual report
Delaware VIP® Trust
Delaware VIP Emerging Markets Series
June 30, 2023
Table of contents
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 (“Macquarie Bank”), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Series is governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2023, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
The Series is distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
This material may be used in conjunction with the offering of shares in Delaware VIP® Emerging Markets Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2023 Macquarie Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Disclosure of Series expenses
For the six-month period from January 1, 2023 to June 30, 2023 (Unaudited)
The investment objective of the Series is to seek long-term capital appreciation.
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2023 to June 30, 2023.
Actual expenses
The first section of the table shown, “Actual Series return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ expenses shown in the table reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
| | | Beginning
Account
Value
1/1/23 | | Ending
Account
Value
6/30/23 | | Annualized
Expense
Ratio | | Expenses
Paid
During
Period
1/1/23 to
6/30/23* |
| Actual Series return† | | | | | | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,071.90 | | | 1.18% | | $ | 6.06 | |
| Service Class | | | 1,000.00 | | | | 1,070.50 | | | 1.48% | | | 7.60 | |
| Hypothetical 5% return (5% return before expenses) |
| Standard Class | | $ | 1,000.00 | | | $ | 1,018.94 | | | 1.18% | | $ | 5.91 | |
| Service Class | | | 1,000.00 | | | | 1,017.46 | | | 1.48% | | | 7.40 | |
| | |
| * | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| † | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Series’ expenses reflected above, the Series also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds) in which it invests. The table above does not reflect the expenses of any Underlying Funds.
| Delaware VIP Emerging Markets Series | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund’s sector designations.
| Security type / country | | Percentage
of net assets |
| Common Stocks by Country | | | 92.64 | % |
| Argentina | | | 1.27 | % |
| Bahrain | | | 0.22 | % |
| Brazil | | | 5.48 | % |
| Chile | | | 1.24 | % |
| China/Hong Kong | | | 26.91 | % |
| India | | | 12.69 | % |
| Indonesia | | | 1.43 | % |
| Japan | | | 0.61 | % |
| Malaysia | | | 0.05 | % |
| Mexico | | | 4.46 | % |
| Peru | | | 0.45 | % |
| Republic of Korea | | | 18.34 | % |
| Russia | | | 0.00 | % |
| South Africa | | | 0.07 | % |
| Taiwan | | | 18.10 | % |
| Turkey | | | 1.04 | % |
| United Kingdom | | | 0.28 | % |
| Convertible Preferred Stock | | | 0.03 | % |
| Preferred Stocks | | | 4.36 | % |
| Rights | | | 0.14 | % |
| Warrants | | | 0.04 | % |
| Participation Notes | | | 0.00 | % |
| Short-Term Investments | | | 2.34 | % |
| Total Value of Securities | | | 99.55 | % |
| Receivables and Other Assets Net of Liabilities | | | 0.45 | % |
| Total Net Assets | | | 100.00 | % |
Common stock, participation notes, and preferred
stock by sector | | Percentage
of net assets |
| Communication Services | | | 12.59 | % |
| Consumer Discretionary | | | 7.97 | % |
| Consumer Staples | | | 12.70 | % |
| Energy | | | 9.96 | % |
| Financials | | | 4.72 | % |
| Healthcare | | | 0.87 | % |
| Industrials | | | 5.07 | % |
| Information Technology* | | | 37.65 | % |
| Materials | | | 3.93 | % |
| Real Estate | | | 0.75 | % |
| Utilities | | | 0.79 | % |
| Total | | | 97.00 | % |
*To monitor compliance with the Series’ concentration guidelines as described in the Series’ Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Information Technology sector consisted of Computers, Electronics, Electronic Components-Semiconductor, Internet, Semiconductor Components-Integrated Circuits, and Software. As of June 30, 2023, such amounts, as a percentage of total net assets were 1.83%, 2.05%, 19.77%, 0.81%, 12.42%, and 0.77%, respectively. The percentage in any such single industry will comply with the Series’ concentration policy even if the percentage in the Information Technology sector for financial reporting purposes may exceed 25%.
Schedule of investments
| Delaware VIP® Trust — Delaware VIP Emerging Markets Series | June 30, 2023 (Unaudited) |
| | | Number of
shares | | Value (US $) | |
| Common Stocks – 92.64%Δ | | | | | | |
| Argentina – 1.27% | | | | | | | | |
| Cablevision Holding GDR | | | 262,838 | | | $ | 715,437 | |
| Cresud ADR | | | 333,931 | | | | 2,581,287 | |
| Grupo Clarin GDR Class B 144A #, † | | | 77,680 | | | | 130,990 | |
| IRSA Inversiones y Representaciones ADR | | | 500,335 | | | | 4,062,720 | |
| | | | | | | | 7,490,434 | |
| Bahrain – 0.22% | | | | | | | | |
| Aluminium Bahrain GDR 144A # | | | 91,200 | | | | 1,313,572 | |
| | | | | | | | 1,313,572 | |
| Brazil – 5.48% | | | | | | | | |
| Banco Bradesco ADR | | | 1,749,871 | | | | 6,054,554 | |
| Banco Santander Brasil ADR | | | 153,366 | | | | 975,408 | |
| BRF ADR † | | | 788,900 | | | | 1,498,910 | |
| Itau Unibanco Holding ADR | | | 1,155,625 | | | | 6,818,187 | |
| Petroleo Brasileiro ADR | | | 285,509 | | | | 3,531,746 | |
| Rumo | | | 217,473 | | | | 1,011,016 | |
| Telefonica Brasil ADR | �� | | 272,891 | | | | 2,491,495 | |
| TIM ADR | | | 155,003 | | | | 2,369,996 | |
| Vale | | | 149,527 | | | | 2,009,536 | |
| Vale ADR | | | 363,623 | | | | 4,879,821 | |
| XP Class A † | | | 24,226 | | | | 568,342 | |
| | | | | | | | 32,209,011 | |
| Chile – 1.24% | | | | | | | | |
| Sociedad Quimica y Minera de Chile ADR | | | 100,000 | | | | 7,262,000 | |
| | | | | | | | 7,262,000 | |
| China/Hong Kong – 26.91% | | | | | | | | |
| Alibaba Group Holding † | | | 910,700 | | | | 9,480,233 | |
| Alibaba Group Holding ADR † | | | 143,800 | | | | 11,985,730 | |
| ANTA Sports Products | | | 268,400 | | | | 2,758,058 | |
| Baidu ADR † | | | 54,219 | | | | 7,423,123 | |
| BeiGene † | | | 167,800 | | | | 2,300,802 | |
| DiDi Global ADR † | | | 81,500 | | | | 244,500 | |
| Hengan International Group | | | 260,500 | | | | 1,098,386 | |
| Innovent Biologics 144A #, † | | | 314,000 | | | | 1,192,681 | |
| iQIYI ADR † | | | 59,542 | | | | 317,954 | |
| JD.com Class A | | | 34,285 | | | | 584,716 | |
| JD.com ADR | | | 373,800 | | | | 12,757,794 | |
| Joinn Laboratories China Class H 144A # | | | 13,446 | | | | 33,924 | |
| Kunlun Energy | | | 3,360,900 | | | | 2,647,578 | |
| Kweichow Moutai Class A | | | 111,913 | | | | 26,087,389 | |
| Meituan Class B 144A #, † | | | 75,390 | | | | 1,182,184 | |
| New Oriental Education & Technology Group ADR † | | | 16,190 | | | | 639,343 | |
| Ping An Insurance Group Co. of China Class H | | | 585,000 | | | | 3,736,347 | |
| Sohu.com ADR † | | | 429,954 | | | | 4,738,093 | |
| TAL Education Group ADR † | | | 50,701 | | | | 302,178 | |
| Tencent Holdings | | | 753,900 | | | | 31,966,249 | |
| Tencent Music Entertainment Group ADR † | | | 159 | | | | 1,174 | |
| Tianjin Development Holdings | | | 35,950 | | | | 7,448 | |
| Tingyi Cayman Islands Holding | | | 1,582,000 | | | | 2,463,351 | |
| Trip.com Group ADR † | | | 120,588 | | | | 4,220,580 | |
| Tsingtao Brewery Class H | | | 797,429 | | | | 7,280,504 | |
| Uni-President China Holdings | | | 2,800,000 | | | | 2,361,272 | |
| Weibo Class A | | | 65,500 | | | | 868,162 | |
| Weibo ADR | | | 40,000 | | | | 524,400 | |
| Wuliangye Yibin Class A | | | 837,792 | | | | 18,913,503 | |
| | | | | | | | 158,117,656 | |
| India – 12.69% | | | | | | | | |
| HCL Technologies | | | 312,400 | | | | 4,541,531 | |
| HDFC Bank | | | 120,100 | | | | 2,492,413 | |
| Indiabulls Real Estate GDR † | | | 44,628 | | | | 32,803 | |
| Infosys | | | 285,200 | | | | 4,645,307 | |
| Natco Pharma | | | 185,519 | | | | 1,568,899 | |
| Reliance Industries | | | 859,880 | | | | 26,803,395 | |
| Reliance Industries GDR 144A # | | | 452,657 | | | | 28,189,150 | |
| Sify Technologies ADR † | | | 91,200 | | | | 171,456 | |
| Tata Consultancy Services | | | 151,800 | | | | 6,133,835 | |
| | | | | | | | 74,578,789 | |
| Indonesia – 1.43% | | | | | | | | |
| Astra International | | | 18,590,600 | | | | 8,432,295 | |
| | | | | | | | 8,432,295 | |
| Japan – 0.61% | | | | | | | | |
| Renesas Electronics † | | | 189,200 | | | | 3,570,642 | |
| | | | | | | | 3,570,642 | |
| Malaysia – 0.05% | | | | | | | | |
| UEM Sunrise | | | 4,748,132 | | | | 275,159 | |
| | | | | | | | 275,159 | |
| Mexico – 4.46% | | | | | | | | |
| America Movil ADR † | | | 162,815 | | | | 3,523,317 | |
| Becle | | | 1,571,000 | | | | 3,849,257 | |
| Cemex ADR † | | | 469,537 | | | | 3,324,322 | |
| Coca-Cola Femsa ADR | | | 75,784 | | | | 6,313,565 | |
| Fomento Economico Mexicano ADR | | | 19,186 | | | | 2,126,576 | |
| Grupo Financiero Banorte Class O | | | 440,979 | | | | 3,627,894 | |
| Grupo Televisa ADR | | | 656,458 | | | | 3,367,630 | |
| Sitios Latinoamerica † | | | 162,815 | | | | 65,156 | |
| | | | | | | | 26,197,717 | |
Schedule of investments
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
| | | Number of
shares | | Value (US $) | |
| Common StocksΔ (continued) | | | | | | |
| Peru – 0.45% | | | | | | | | |
| Cia de Minas Buenaventura ADR | | | 356,605 | | | $ | 2,621,047 | |
| | | | | | | | 2,621,047 | |
| Republic of Korea – 18.34% | | | | | | | | |
| Fila Holdings | | | 82,860 | | | | 2,523,507 | |
| LG Uplus | | | 250,922 | | | | 2,047,380 | |
| Samsung Electronics | | | 671,359 | | | | 36,967,230 | |
| Samsung Life Insurance | | | 66,026 | | | | 3,376,810 | |
| SK Hynix | | | 360,000 | | | | 31,631,187 | |
| SK Square † | | | 415,659 | | | | 14,039,675 | |
| SK Telecom | | | 159,405 | | | | 5,640,663 | |
| SK Telecom ADR | | | 590,316 | | | | 11,517,065 | |
| | | | | | | | 107,743,517 | |
| Russia – 0.00% | | | | | | | | |
| EL5-ENERO PJSC =, † | | | 755,050 | | | | 0 | |
| Etalon Group GDR 144A #, =, † | | | 354,800 | | | | 0 | |
| Gazprom PJSC = | | | 2,087,800 | | | | 0 | |
| Rosneft Oil PJSC = | | | 1,449,104 | | | | 0 | |
| Sberbank of Russia PJSC = | | | 2,058,929 | | | | 0 | |
| Surgutneftegas PJSC ADR =, † | | | 294,652 | | | | 0 | |
| T Plus PJSC =, † | | | 25,634 | | | | 0 | |
| VK GDR =, † | | | 71,300 | | | | 0 | |
| Yandex Class A =, † | | | 101,902 | | | | 0 | |
| | | | | | | | 0 | |
| South Africa – 0.07% | | | | | | | | |
| Sun International | | | 210,726 | | | | 383,917 | |
| Tongaat Hulett =, † | | | 182,915 | | | | 0 | |
| | | | | | | | 383,917 | |
| Taiwan – 18.10% | | | | | | | | |
| Hon Hai Precision Industry | | | 3,306,564 | | | | 12,021,808 | |
| MediaTek | | | 1,125,000 | | | | 24,902,836 | |
| Taiwan Semiconductor Manufacturing | | | 3,756,864 | | | | 69,401,800 | |
| | | | | | | | 106,326,444 | |
| Turkey – 1.04% | | | | | | | | |
| D-MARKET Elektronik Hizmetler ve Ticaret ADR † | | | 15,200 | | | | 25,536 | |
| Turkcell Iletisim Hizmetleri | | | 677,165 | | | | 944,836 | |
| Turkiye Sise ve Cam Fabrikalari | | | 3,008,750 | | | | 5,151,029 | |
| | | | | | | | 6,121,401 | |
| United Kingdom – 0.28% | | | | | | | | |
| Griffin Mining † | | | 1,642,873 | | | | 1,639,949 | |
| | | | | | | | 1,639,949 | |
Total Common Stocks
(cost $506,176,589) | | | | | | | 544,283,550 | |
| | | | | | | | | |
| Convertible Preferred Stock – 0.03% | | | | | | | | |
| Republic of Korea – 0.03% | | | | | | | | |
| CJ 4.62% | | | 4,204 | | | | 188,192 | |
Total Convertible Preferred Stock
(cost $470,722) | | | | | | | 188,192 | |
| | | | | | | | | |
| Preferred Stocks – 4.36%Δ | | | | | | | | |
| Brazil – 0.34% | | | | | | | | |
| Centrais Eletricas Brasileiras Class B 3.41% ω | | | 216,779 | | | | 2,020,108 | |
| | | | | | | | 2,020,108 | |
| Republic of Korea – 4.02% | | | | | | | | |
| CJ 6.02% ω | | | 28,030 | | | | 951,436 | |
| Samsung Electronics 1.88% ω | | | 499,750 | | | | 22,678,308 | |
| | | | | | | | 23,629,744 | |
| Russia – 0.00% | | | | | | | | |
| Transneft PJSC 7.48% =, ω | | | 3,606 | | | | 0 | |
| | | | | | | | 0 | |
Total Preferred Stocks
(cost $11,306,065) | | | | | | | 25,649,852 | |
| | | | | | | | | |
| Rights – 0.14% | | | | | | | | |
| Brazil – 0.14% | | | | | | | | |
| AES Brasil Energia | | | 312,339 | | | | 801,689 | |
Total Rights
(cost $946,490) | | | | | | | 801,689 | |
| | | | | | | | | |
| Warrants – 0.04% | | | | | | | | |
| Argentina – 0.04% | | | | | | | | |
| IRSA Inversiones y Representaciones exercise price $0.44, expiration date 3/5/26 † | | | 594,450 | | | | 261,261 | |
Total Warrants
(cost $0) | | | | | | | 261,261 | |
| | | | | | | | | |
| Participation Notes – 0.00% | | | | | | | | |
| Lehman Indian Oil CW 12 LEPO =, † | | | 100,339 | | | | 0 | |
| Lehman Oil & Natural Gas CW 12 LEPO =, † | | | 146,971 | | | | 0 | |
Total Participation Notes
(cost $4,952,197) | | | | | | | 0 | |
| | | Number of
shares | | Value (US $) | |
| Short-Term Investments – 2.34% | | | | | | |
| Money Market Mutual Funds – 2.34% | | | | | | | | |
| BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | | | 3,435,371 | | | $ | 3,435,371 | |
| Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | | | 3,435,371 | | | | 3,435,371 | |
| Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | | | 3,435,371 | | | | 3,435,371 | |
| Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | | | 3,435,371 | | | | 3,435,371 | |
Total Short-Term Investments
(cost $13,741,484) | | | | | | | 13,741,484 | |
Total Value of Securities-99.55%
(cost $537,593,547) | | | | | | $ | 584,926,028 | |
| | |
| Δ | Securities have been classified by country of risk. Aggregate classification by business sector has been presented on page 2 in “Security type / country and sector allocations.” |
| # | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2023, the aggregate value of Rule 144A securities was $32,042,501, which represents 5.45% of the Series’ net assets. See Note 8 in “Notes to financial statements.” |
| † | Non-income producing security. |
| = | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security. |
| ω | Perpetual security with no stated maturity date. |
Summary of abbreviations:
ADR – American Depositary Receipt
GDR – Global Depositary Receipt
LEPO – Low Exercise Price Option
PJSC – Private Joint Stock Company
See accompanying notes, which are an integral part of the financial statements.
Statement of assets and liabilities
| Delaware VIP® Trust — Delaware VIP Emerging Markets Series | June 30, 2023 (Unaudited) |
| Assets: | | | |
| Investments, at value* | | $ | 584,926,028 | |
| Cash | | | 1,211 | |
| Foreign currencies, at valueΔ | | | 1,057,336 | |
| Dividends and interest receivable | | | 4,222,879 | |
| Receivable for series shares sold | | | 359,943 | |
| Foreign tax reclaims receivable | | | 43,277 | |
| Other assets | | | 4,952 | |
| Total Assets | | | 590,615,626 | |
| Liabilities: | | | | |
| Accrued capital gains taxes on appreciated securities | | | 1,560,697 | |
| Other accrued expenses | | | 812,347 | |
| Investment management fees payable to affiliates | | | 472,494 | |
| Payable for series shares redeemed | | | 136,824 | |
| Distribution fees payable to affiliates | | | 64,243 | |
| Administration expenses payable to affiliates | | | 20,044 | |
| Total Liabilities | | | 3,066,649 | |
| Total Net Assets | | $ | 587,548,977 | |
| | | | | |
| Net Assets Consist of: | | | | |
| Paid-in capital | | $ | 548,351,902 | |
| Total distributable earnings (loss) | | | 39,197,075 | |
| Total Net Assets | | $ | 587,548,977 | |
| | | | | |
| Net Asset Value | | | | |
| Standard Class: | | | | |
| Net assets | | $ | 330,110,328 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 15,893,418 | |
| Net asset value per share | | $ | 20.77 | |
| Service Class: | | | | |
| Net assets | | $ | 257,438,649 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 12,413,292 | |
| Net asset value per share | | $ | 20.74 | |
| | | | |
| *Investments, at cost | | $ | 537,593,547 | |
| ΔForeign currencies, at cost | | | 1,046,125 | |
See accompanying notes, which are an integral part of the financial statements.
Statement of operations
| Delaware VIP® Trust — Delaware VIP Emerging Markets Series | Six months ended June 30, 2023 (Unaudited) |
| Investment Income: | | | |
| Dividends | | $ | 12,796,880 | |
| Foreign tax withheld | | | (1,565,113 | ) |
| | | | 11,231,767 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 3,510,656 | |
| Distribution expenses — Service Class | | | 385,647 | |
| Custodian fees | | | 254,591 | |
| Dividend disbursing and transfer agent fees and expenses | | | 137,045 | |
| Reports and statements to shareholders expenses | | | 68,255 | |
| Accounting and administration expenses | | | 50,259 | |
| Trustees’ fees and expenses | | | 23,331 | |
| Legal fees | | | 20,748 | |
| Audit and tax fees | | | 20,160 | |
| Other | | | 13,257 | |
| | | | 4,483,949 | |
| Less expenses waived | | | (767,468 | ) |
| Less expenses paid indirectly | | | (1 | ) |
| Total operating expenses | | | 3,716,480 | |
| Net Investment Income (Loss) | | | 7,515,287 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments1 | | | (5,713,253 | ) |
| Foreign currencies | | | (188,283 | ) |
| Foreign currency exchange contracts | | | (26,754 | ) |
| Net realized gain (loss) | | | (5,928,290 | ) |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments1 | | | 38,035,082 | |
| Foreign currencies | | | 20,734 | |
| Net change in unrealized appreciation (depreciation) | | | 38,055,816 | |
| Net Realized and Unrealized Gain (Loss) | | | 32,127,526 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 39,642,813 | |
| | |
| 1 | Includes $1,560,697 increase in capital gains tax accrued. |
See accompanying notes, which are an integral part of the financial statements.
Statements of changes in net assets
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
| | | Six months
ended
6/30/23
(Unaudited) | | | Year ended
12/31/22 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 7,515,287 | | | $ | 8,615,320 | |
| Net realized gain (loss) | | | (5,928,290 | ) | | | (1,408,165 | ) |
| Net change in unrealized appreciation (depreciation) | | | 38,055,816 | | | | (210,303,611 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 39,642,813 | | | | (203,096,456 | ) |
| | | | | | | | | |
| Dividends and Distributions to Shareholders from: | | | | | | | | |
| Distributable earnings: | | | | | | | | |
| Standard Class | | | (4,852,337 | ) | | | (13,031,896 | ) |
| Service Class | | | (3,223,465 | ) | | | (10,983,197 | ) |
| | | | (8,075,802 | ) | | | (24,015,093 | ) |
| | | | | | | | | |
| Capital Share Transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Standard Class | | | 28,775,964 | | | | 46,742,952 | |
| Service Class | | | 7,296,675 | | | | 25,911,033 | |
| | | | | | | | | |
| Net asset value of shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 4,852,337 | | | | 13,031,896 | |
| Service Class | | | 3,223,465 | | | | 10,983,197 | |
| | | | 44,148,441 | | | | 96,669,078 | |
| Cost of shares redeemed: | | | | | | | | |
| Standard Class | | | (14,606,557 | ) | | | (24,919,016 | ) |
| Service Class | | | (20,740,052 | ) | | | (35,086,446 | ) |
| | | | (35,346,609 | ) | | | (60,005,462 | ) |
| Increase in net assets derived from capital share transactions | | | 8,801,832 | | | | 36,663,616 | |
| Net Increase (Decrease) in Net Assets | | | 40,368,843 | | | | (190,447,933 | ) |
| | | | | | | | | |
| Net Assets: | | | | | | | | |
| Beginning of period | | | 547,180,134 | | | | 737,628,067 | |
| End of period | | $ | 587,548,977 | | | $ | 547,180,134 | |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Delaware VIP® Emerging Markets Series Standard Class
Selected data for each share of the Series outstanding throughout each period were as follows:
| | | Six months
ended
6/30/231 | | | Year ended | |
| | | (Unaudited) | | | 12/31/22 | | 12/31/21 | | 12/31/20 | | 12/31/19 | | 12/31/18 |
| Net asset value, beginning of period | | $ | 19.70 | | | $ | 28.37 | | | $ | 29.42 | | | $ | 24.27 | | | $ | 20.36 | | | $ | 25.06 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income2 | | | 0.29 | | | | 0.35 | | | | 1.00 | | | | 0.10 | | | | 0.19 | | | | 0.16 | |
| Net realized and unrealized gain (loss) | | | 1.11 | | | | (8.06 | ) | | | (1.81 | ) | | | 5.65 | | | | 4.35 | | | | (3.98 | ) |
| Total from investment operations | | | 1.40 | | | | (7.71 | ) | | | (0.81 | ) | | | 5.75 | | | | 4.54 | | | | (3.82 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.33 | ) | | | (0.96 | ) | | | (0.10 | ) | | | (0.18 | ) | | | (0.15 | ) | | | (0.80 | ) |
| Net realized gain | | | — | | | | — | | | | (0.14 | ) | | | (0.42 | ) | | | (0.48 | ) | | | (0.08 | ) |
| Total dividends and distributions | | | (0.33 | ) | | | (0.96 | ) | | | (0.24 | ) | | | (0.60 | ) | | | (0.63 | ) | | | (0.88 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 20.77 | | | $ | 19.70 | | | $ | 28.37 | | | $ | 29.42 | | | $ | 24.27 | | | $ | 20.36 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total return3 | | | 7.19 | %4 | | | (27.58 | )%4 | | | (2.84 | )%4 | | | 25.09 | %4 | | | 22.63 | %4 | | | (15.81 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | | $ | 330,110 | | | $ | 294,244 | | | $ | 377,296 | | | $ | 339,348 | | | $ | 328,524 | | | $ | 236,592 | |
| Ratio of expenses to average net assets5 | | | 1.18 | % | | | 1.20 | % | | | 1.25 | % | | | 1.28 | % | | | 1.30 | % | | | 1.34 | % |
| Ratio of expenses to average net assets prior to fees waived5 | | | 1.45 | % | | | 1.41 | % | | | 1.34 | % | | | 1.36 | % | | | 1.34 | % | | | 1.34 | % |
| Ratio of net investment income to average net assets | | | 2.80 | % | | | 1.59 | % | | | 3.34 | % | | | 0.44 | % | | | 0.86 | % | | | 0.71 | % |
| Ratio of net investment income to average net assets prior to fees waived | | | 2.53 | % | | | 1.38 | % | | | 3.25 | % | | | 0.36 | % | | | 0.82 | % | | | 0.71 | % |
| Portfolio turnover | | | 2 | % | | | 2 | % | | | 2 | % | | | 3 | % | | | 20 | % | | | 11 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| 1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2 | Calculated using average shares outstanding. |
| 3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 4 | Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
| 5 | Expense ratios do not include expenses of any investment companies in which the Series invests. |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Delaware VIP® Emerging Markets Series Service Class
Selected data for each share of the Series outstanding throughout each period were as follows:
| | | Six months
ended
6/30/231 | | | Year ended | |
| | | (Unaudited) | | | 12/31/22 | | 12/31/21 | | 12/31/20 | | 12/31/19 | | 12/31/18 |
| Net asset value, beginning of period | | $ | 19.63 | | | $ | 28.25 | | | $ | 29.31 | | | $ | 24.17 | | | $ | 20.28 | | | $ | 24.97 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income2 | | | 0.26 | | | | 0.28 | | | | 0.90 | | | | 0.03 | | | | 0.12 | | | | 0.10 | |
| Net realized and unrealized gain (loss) | | | 1.11 | | | | (8.03 | ) | | | (1.80 | ) | | | 5.64 | | | | 4.34 | | | | (3.97 | ) |
| Total from investment operations | | | 1.37 | | | | (7.75 | ) | | | (0.90 | ) | | | 5.67 | | | | 4.46 | | | | (3.87 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.26 | ) | | | (0.87 | ) | | | (0.02 | ) | | | (0.11 | ) | | | (0.09 | ) | | | (0.74 | ) |
| Net realized gain | | | — | | | | — | | | | (0.14 | ) | | | (0.42 | ) | | | (0.48 | ) | | | (0.08 | ) |
| Total dividends and distributions | | | (0.26 | ) | | | (0.87 | ) | | | (0.16 | ) | | | (0.53 | ) | | | (0.57 | ) | | | (0.82 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 20.74 | | | $ | 19.63 | | | $ | 28.25 | | | $ | 29.31 | | | $ | 24.17 | | | $ | 20.28 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total return3 | | | 7.05 | % | | | (27.81 | )% | | | (3.13 | )% | | | 24.69 | % | | | 22.25 | % | | | (16.03 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | | $ | 257,439 | | | $ | 252,936 | | | $ | 360,332 | | | $ | 379,331 | | | $ | 358,165 | | | $ | 323,530 | |
| Ratio of expenses to average net assets4 | | | 1.48 | % | | | 1.50 | % | | | 1.55 | % | | | 1.58 | % | | | 1.60 | % | | | 1.62 | % |
| Ratio of expenses to average net assets prior to fees waived4 | | | 1.75 | % | | | 1.71 | % | | | 1.64 | % | | | 1.66 | % | | | 1.64 | % | | | 1.64 | % |
| Ratio of net investment income to average net assets | | | 2.50 | % | | | 1.29 | % | | | 3.04 | % | | | 0.14 | % | | | 0.56 | % | | | 0.43 | % |
| Ratio of net investment income to average net assets prior to fees waived | | | 2.23 | % | | | 1.08 | % | | | 2.95 | % | | | 0.06 | % | | | 0.52 | % | | | 0.41 | % |
| Portfolio turnover | | | 2 | % | | | 2 | % | | | 2 | % | | | 3 | % | | | 20 | % | | | 11 | % |
| | |
| 1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2 | Calculated using average shares outstanding. |
| 3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during the period shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 4 | Expense ratios do not include expenses of any investment companies in which the Series invests. |
See accompanying notes, which are an integral part of the financial statements.
Notes to financial statements
| Delaware VIP® Trust — Delaware VIP Emerging Markets Series | June 30, 2023 (Unaudited) |
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust. The Trust consists of 10 series, each of which is treated as a separate entity for certain matters under the Investment Company Act of 1940, as amended (1940 Act). These financial statements and the related notes pertain to Delaware VIP Emerging Markets Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the 1940 Act and offers Standard Class and Service Class shares. The Standard Class shares do not carry a distribution and service (12b-1) fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
1. Significant Accounting Policies
The Series follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Series.
Security Valuation — Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and the ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. Open-end investment companies, other than ETFs, are valued at their published net asset value (NAV). Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and the ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by the Series’ valuation designee, Delaware Management Company (DMC). Subject to the oversight of the Trust’s Board of Trustees (Board), DMC, as valuation designee, has adopted policies and procedures to fair value securities for which market quotations are not readily available consistent with the requirements of Rule 2a-5 under the 1940 Act. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Restricted securities and private placements are valued at fair value.
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken or expected to be taken on the Series’ federal income tax returns through the six months ended June 30, 2023, and for all open tax years (years ended December 31, 2019–December 31, 2022), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regard to foreign taxes only, the Series has open tax years in certain foreign countries in which it invests that may date back to the inception of the Series. If applicable, the Series recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statement of operations.” During the six months ended June 30, 2023, the Series did not incur any interest or tax penalties.
Class Accounting — Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Foreign Currency Transactions — Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Series’ prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into US dollars at the exchange rate of such currencies against the US dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Series generally does not bifurcate that portion of realized gains and losses on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices. These gains and losses are included on the “Statement of operations” under “Net realized gain (loss) on investments.” The Series reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
1. Significant Accounting Policies (continued)
Derivative Financial Instruments — The Series may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Series must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Series’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Series can realize on an investment and/or may result in lower distributions paid to shareholders. The Series’ investments in these instruments, if any, are discussed in detail in the Notes to financial statements.
Segregation and Collateralizations — In certain cases, based on requirements and agreements with certain exchanges and third-party broker-dealers, the Series may deliver or receive collateral in connection with certain investments (e.g., futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods, and swaps). Certain countries require that cash reserves be held while investing in companies incorporated in that country. These cash reserves and cash collateral that has been pledged/received to cover obligations of the Series under derivative contracts, if any, will be reported separately on the “Statement of assets and liabilities” as cash collateral due to/from broker. Securities collateral pledged for the same purpose, if any, is noted on the “Schedule of investments.”
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Taxable non-cash dividends are recorded as dividend income. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Series is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Series’ understanding of the applicable country’s tax rules and rates. Income and capital gain distributions from any Underlying Funds in which the Series invests are recorded on the ex-dividend date. The Series may pay foreign capital gains taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes. The Series will accrue such taxes as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, at least annually. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expenses paid under this arrangement are included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.”
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays DMC, a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly at the rates of 1.25% on the first $500 million of average daily net assets of the Series, 1.20% on the next $500 million, 1.15% on the next $1.5 billion, and 1.10% on average daily net assets in excess of $2.5 billion.
DMC has contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding any 12b-1 fees, acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations), in order to prevent total annual series operating expenses from exceeding 1.18% of the Series’ average daily net assets for the Standard Class and the Service Class from January 1, 2023 through June 30, 2023.* These waivers and reimbursements may only be terminated by agreement of DMC and the Series. The waivers and reimbursements are accrued daily and received monthly.
DMC may permit its affiliate, Macquarie Investment Management Global Limited (MIMGL) to execute Series security trades on its behalf. DMC may also seek quantitative support from MIMGL. Although MIMGL serve as sub-advisor, DMC has ultimate responsibility for all investment advisory services. For these services, DMC, not the Series, may pay MIMGL a portion of its investment management fee.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; 0.0025% of the next $45 billion; and 0.0015% of aggregate average daily net assets in excess of $90 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the six months ended June 30, 2023, the Series paid $10,295 for these services.
DIFSC is also the transfer agent and dividend disbursing agent of the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Series’ average daily net assets. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended June 30, 2023, the Series paid $21,310 for these services. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are paid by the Series and are also included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees that are calculated daily and paid as invoices are received on a monthly or quarterly basis.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual 12b-1 fee of 0.30% of the average daily net assets of the Service Class shares. The fees are calculated daily and paid monthly. Standard Class shares do not pay 12b-1 fees.
As provided in the investment management agreement, the Series bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to the Series. For the six months ended June 30, 2023, the Series paid $5,881 for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
In addition to the management fees and other expenses of the Series, the Series indirectly bears the investment management fees and other expenses of any Underlying Funds including ETFs in which it invests. The amount of these fees and expenses incurred indirectly by the Series will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
*The aggregate contractual waiver period covering this report is from April 29, 2022 through April 30, 2024.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
3. Investments
For the six months ended June 30, 2023, the Series made purchases and sales of investment securities other than short-term investments as follows:
| Purchases | | $ | 12,182,204 | |
| Sales | | | 11,524,852 | |
At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for the Series were as follows:
| Cost of investments | | $ | 537,593,547 | |
| Aggregate unrealized appreciation of investments | | $ | 186,391,542 | |
| Aggregate unrealized depreciation of investments | | | (139,059,061 | ) |
| Net unrealized appreciation of investments | | $ | 47,332,481 | |
At December 31, 2022, capital loss carryforwards available to offset future realized capital gains were as follows:
| Loss carryforward character | | | |
| Short-term | | Long-term | | Total | |
| $ | 1,258,686 | | $ | 6,810,503 | | $ | 8,069,189 | |
US GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
| Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
| | |
| Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
| | |
| Level 3 – | Significant unobservable inputs, including the Series’ own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2023:
| | | Level 1 | | | Level 2 | | | Level 3 | | | Total | |
| Securities | | | | | | | | | | | | | | | | |
| Assets: | | | | | | | | | | | | | | | | |
| Common Stocks | | | | | | | | | | | | | | | | |
| Argentina | | $ | 6,644,007 | | | $ | 846,427 | | | $ | — | | | $ | 7,490,434 | |
| Bahrain | | | 1,313,572 | | | | — | | | | — | | | | 1,313,572 | |
| Brazil | | | 32,209,011 | | | | — | | | | — | | | | 32,209,011 | |
| Chile | | | 7,262,000 | | | | — | | | | — | | | | 7,262,000 | |
| China/Hong Kong | | | 43,154,869 | | | | 114,962,787 | | | | — | | | | 158,117,656 | |
| India | | | 171,456 | | | | 74,407,333 | | | | — | | | | 74,578,789 | |
| Indonesia | | | — | | | | 8,432,295 | | | | — | | | | 8,432,295 | |
| Japan | | | — | | | | 3,570,642 | | | | — | | | | 3,570,642 | |
| Malaysia | | | — | | | | 275,159 | | | | — | | | | 275,159 | |
| Mexico | | | 26,197,717 | | | | — | | | | — | | | | 26,197,717 | |
| Peru | | | 2,621,047 | | | | — | | | | — | | | | 2,621,047 | |
| Republic of Korea | | | 11,517,065 | | | | 96,226,452 | | | | — | | | | 107,743,517 | |
| Russia | | | — | | | | — | | | | — | 1,2 | | | — | |
| South Africa | | | 383,917 | | | | — | | | | — | | | | 383,917 | |
| Taiwan | | | — | | | | 106,326,444 | | | | — | | | | 106,326,444 | |
| Turkey | | | 970,372 | | | | 5,151,029 | | | | — | | | | 6,121,401 | |
| United Kingdom | | | 1,639,949 | | | | — | | | | — | | | | 1,639,949 | |
| Convertible Preferred Stock | | | — | | | | 188,192 | | | | — | | | | 188,192 | |
| Participation Notes | | | — | | | | — | | | | — | 2 | | | — | |
| Preferred Stocks | | | 2,020,108 | | | | 23,629,744 | | | | — | 2 | | | 25,649,852 | |
| Rights | | | 801,689 | | | | — | | | | — | | | | 801,689 | |
| Warrants | | | 261,261 | | | | — | | | | — | | | | 261,261 | |
| Short-Term Investments | | | 13,741,484 | | | | — | | | | — | | | | 13,741,484 | |
| Total Value of Securities | | $ | 150,909,524 | | | $ | 434,016,504 | | | $ | — | | | $ | 584,926,028 | |
1The value represents valuations of Russian Common Stocks for which Management has determined include significant unobservable inputs as of June 30, 2023.
2The security that has been valued at zero on the “Schedule of investments” is considered to be Level 3 investments in this table.
As a result of utilizing international fair value pricing at June 30, 2023, a portion of the common stock in the portfolio was categorized as Level 2.
During the six months ended June 30, 2023, there were no transfers into or out of Level 3 investments. The Series’ policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning or end of the period in relation to the Series’ net assets. Management has determined not to provide a reconciliation of Level 3 investments as the Level 3 investments were not considered significant to the Series’ net assets at the beginning or end of the period. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments were not considered significant to the Series’ net assets at the end of the period.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
4. Capital Shares
Transactions in capital shares were as follows:
| | | Six months
ended
6/30/23 | | | Year ended
12/31/22 | |
| Shares sold: | | | | | | | | |
| Standard Class | | | 1,406,056 | | | | 2,192,970 | |
| Service Class | | | 355,378 | | | | 1,192,323 | |
| Shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 245,564 | | | | 581,781 | |
| Service Class | | | 163,295 | | | | 490,980 | |
| | | | 2,170,293 | | | | 4,458,054 | |
| Shares redeemed: | | | | | | | | |
| Standard Class | | | (696,035 | ) | | | (1,136,299 | ) |
| Service Class | | | (990,416 | ) | | | (1,553,673 | ) |
| | | | (1,686,451 | ) | | | (2,689,972 | ) |
| Net increase | | | 483,842 | | | | 1,768,082 | |
5. Line of Credit
The Series, along with certain other funds in the Delaware Funds (Participants), is a participant in a $355,000,000 revolving line of credit (Agreement) intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the Agreement, the Participants are charged an annual commitment fee of 0.15%, which is allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants are permitted to borrow up to a maximum of one-third of their net assets under the Agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the Agreement expires on October 30, 2023.
The Series had no amounts outstanding as of June 30, 2023, or at any time during the period then ended.
6. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts — The Series may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. The Series may enter into these contracts to fix the US dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. The Series may also enter into these contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies. In addition, the Series may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Series could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Series maximum risk of loss from counterparty credit risk
is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Series and the counterparty and by the posting of collateral by the counterparty to the Series to cover the Series’ exposure to the counterparty.
During the six months ended June 30, 2023, the Series entered into foreign currency exchange contracts to facilitate or expedite the settlement of portfolio transactions.
During the six months ended June 30, 2023, the Series experienced net realized and unrealized gains or losses attributable to foreign currency holdings, which are disclosed on the “Statement of assets and liabilities” and “Statement of operations.”
The table below summarizes the average daily balance of derivative holdings by the Series during the six months ended June 30, 2023:
| | | Long Derivative
Volume | | | Short Derivative
Volume | |
| Foreign currency exchange contracts (average notional value) | | $ | 19,145 | | | $ | 15,581 | |
7. Securities Lending
The Series, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by the Series is generally invested in an individual separate account. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. The Series can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Series may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of the Series’ cash collateral account may be less than the amount the Series would be required to return to the borrowers of the securities and the Series would be required to make up for this shortfall.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
7. Securities Lending (continued)
At June 30, 2023, the Series had no securities out on loan.
8. Credit and Market Risk
The global outbreak of COVID-19 resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the outbreak, its full economic impact and ongoing effects at the macro-level and on individual businesses are unpredictable and may result in significant and prolonged effects on a Series’ performance.
Beginning in late February 2022, global financial markets have experienced and may continue to experience significant volatility related to military action by Russia in Ukraine. As a result of this military action, the US and many other countries have imposed sanctions on Russia and certain Russian individuals, banks and corporations. The ongoing hostilities and resulting sanctions are expected to have a severe adverse effect on the region’s economies and more globally, including significant negative impact on markets for certain securities and commodities, such as oil and natural gas. Any cessation of trading on the Russian securities markets will impact the value and liquidity of certain portfolio holdings. The extent and duration of military action, sanctions, and resulting market disruptions are impossible to predict, but could be substantial and prolonged and impact the Series’ performance.
Investments in equity securities in general are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Series invests will cause the NAV of the Series to fluctuate.
The Series invests a significant portion of its assets in the greater China region, which consists of Hong Kong, the People’s Republic of China, and Taiwan, among other countries. As a result, the Series’ investments in the region are particularly susceptible to risks in that region. Adverse events in any one country within the region may impact the other countries in the region or Asia as a whole. As a result, adverse events in the region will generally have a greater effect on the Series than if the Series were more geographically diversified, which could result in greater volatility in the Series’ net asset value and losses. Markets in the greater China region can experience significant volatility due to social, economic, regulatory, and political uncertainties.
Some countries in which the Series may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the US. Consequently, acquisition and disposition of securities by the Series may be inhibited. In addition, a significant portion of the aggregate market value of equity securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Series.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. Rule 144A securities have been identified on the “Schedule of investments.”
9. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
10. New Regulatory Pronouncement
In October 2022, the Securities and Exchange Commission (SEC) adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
11. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in the Series’ financial statements.
Other Series information (Unaudited)
Delaware VIP® Trust — Delaware VIP Emerging Markets Series
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end funds (other than money market funds) to adopt and implement a program reasonably designed to assess and manage the fund’s “liquidity risk,” defined as the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund.
The Series has adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Series in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of the Series’ liquidity risk; (2) classification of each of the Series’ portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Series’ net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting the Series’ acquisition of Illiquid investments if, immediately after the acquisition, the Series would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if the Series’ holdings of Illiquid assets exceed 15% of the Series’ net assets. Series with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing the Series’ liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) the Series’ investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Series during both normal and reasonably foreseeable stressed conditions; and (3) the Series’ holdings of cash and cash equivalents and any borrowing arrangements. Classification of the Series’ portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. The Series primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 23-25, 2023, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2022 through March 31, 2023. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and the Series’ liquidity needs. The Series’ HLIM is set at an appropriate level and the Series complied with its HLIM at all times during the reporting period.
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. The Series’ Form N-PORT, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities, is available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-PORT are available without charge on the Series’ website at delawarefunds.com/vip/literature.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Series’ website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(3031246)
SA-VIPEM-0823
Semiannual report
Delaware VIP® Trust
Delaware VIP Small Cap Value Series
June 30, 2023
Table of contents
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 (“Macquarie Bank”), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Series is governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2023, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
The Series is distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
This material may be used in conjunction with the offering of shares in Delaware VIP® Small Cap Value Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2023 Macquarie Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Disclosure of Series expenses
For the six-month period from January 1, 2023 to June 30, 2023 (Unaudited)
The investment objective of the Series is to seek capital appreciation.
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2023 to June 30, 2023.
Actual expenses
The first section of the table shown, “Actual Series return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ expenses shown in the table reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
| | | Beginning
Account
Value
1/1/23 | | Ending
Account
Value
6/30/23 | | Annualized
Expense
Ratio | | Expenses
Paid
During
Period
1/1/23 to
6/30/23* |
| Actual Series return† | | | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,018.30 | | | 0.80% | | $ | 4.00 | |
| Service Class | | | 1,000.00 | | | | 1,016.90 | | | 1.10% | | | 5.50 | |
| Hypothetical 5% return (5% return before expenses) |
| Standard Class | | $ | 1,000.00 | | | $ | 1,020.83 | | | 0.80% | | $ | 4.01 | |
| Service Class | | | 1,000.00 | | | | 1,019.34 | | | 1.10% | | | 5.51 | |
| | |
| * | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| † | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Series’ expenses reflected above, the Series also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds) in which it invests. The table above does not reflect the expenses of any Underlying Funds.
Security type / sector allocations and top 10 equity holdings
| Delaware VIP® Trust — Delaware VIP Small Cap Value Series | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund’s sector designations.
| Security type / sector | | Percentage
of net assets |
| Common Stocks | | 97.34 | % |
| Basic Industry | | 8.00 | % |
| Consumer Discretionary | | 12.22 | % |
| Consumer Staples | | 3.47 | % |
| Energy | | 6.54 | % |
| Financial Services | | 21.58 | % |
| Healthcare | | 4.40 | % |
| Industrials | | 15.45 | % |
| Real Estate Investment Trusts | | 7.89 | % |
| Technology | | 11.52 | % |
| Transportation | | 2.59 | % |
| Utilities | | 3.68 | % |
| Short-Term Investments | | 2.68 | % |
| Total Value of Securities | | 100.02 | % |
| Liabilities Net of Receivables and Other Assets | | (0.02 | )% |
| Total Net Assets | | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
| Top 10 equity holdings | | Percentage
of net assets |
| Atkore | | 2.24 | % |
| MasTec | | 2.11 | % |
| ITT | | 1.76 | % |
| Stifel Financial | | 1.60 | % |
| Hancock Whitney | | 1.55 | % |
| Flex | | 1.51 | % |
| Webster Financial | | 1.47 | % |
| Meritage Homes | | 1.42 | % |
| Louisiana-Pacific | | 1.40 | % |
| FNB | | 1.40 | % |
Schedule of investments
| Delaware VIP® Trust — Delaware VIP Small Cap Value Series | June 30, 2023 (Unaudited) |
| | | Number of
shares | | Value (US $) |
| Common Stocks — 97.34% | | | | |
| Basic Industry — 8.00% | | | | | | | | |
| Ashland | | | 119,000 | | | $ | 10,342,290 | |
| Avient | | | 359,950 | | | | 14,721,955 | |
| Berry Global Group | | | 338,760 | | | | 21,795,818 | |
| HB Fuller | | | 285,700 | | | | 20,430,407 | |
| Huntsman | | | 519,671 | | | | 14,041,511 | |
| Louisiana-Pacific | | | 302,316 | | | | 22,667,654 | |
| Ryerson Holding | | | 215,342 | | | | 9,341,536 | |
| Summit Materials Class A † | | | 419,146 | | | | 15,864,676 | |
| | | | | | | | 129,205,847 | |
| Consumer Discretionary — 12.22% | | | | | | | | |
| Acushnet Holdings | | | 278,700 | | | | 15,239,316 | |
| Adient † | | | 402,000 | | | | 15,404,640 | |
| Barnes Group | | | 397,600 | | | | 16,774,744 | |
| Choice Hotels International | | | 99,100 | | | | 11,646,232 | |
| Columbia Sportswear | | | 180,600 | | | | 13,949,544 | |
| Cracker Barrel Old Country Store | | | 67,800 | | | | 6,317,604 | |
| Group 1 Automotive | | | 69,700 | | | | 17,989,570 | |
| KB Home | | | 338,900 | | | | 17,524,519 | |
| Meritage Homes | | | 160,900 | | | | 22,891,243 | |
| Oxford Industries | | | 74,450 | | | | 7,327,369 | |
| Steven Madden | | | 387,050 | | | | 12,652,664 | |
| TEGNA | | | 695,300 | | | | 11,291,672 | |
| Texas Roadhouse | | | 118,450 | | | | 13,299,566 | |
| UniFirst | | | 97,700 | | | | 15,144,477 | |
| | | | | | | | 197,453,160 | |
| Consumer Staples — 3.47% | | | | | | | | |
| Flowers Foods | | | 421,500 | | | | 10,486,920 | |
| Hostess Brands † | | | 553,300 | | | | 14,009,556 | |
| J & J Snack Foods | | | 123,500 | | | | 19,557,460 | |
| Performance Food Group † | | | 199,653 | | | | 12,027,097 | |
| | | | | | | | 56,081,033 | |
| Energy — 6.54% | | | | | | | | |
| CNX Resources † | | | 697,050 | | | | 12,351,726 | |
| EnLink Midstream † | | | 217,178 | | | | 2,302,087 | |
| Liberty Energy | | | 1,071,100 | | | | 14,320,607 | |
| Magnolia Oil & Gas Class A | | | 915,200 | | | | 19,127,680 | |
| Matador Resources | | | 269,420 | | | | 14,096,054 | |
| Murphy Oil | | | 492,950 | | | | 18,879,985 | |
| Patterson-UTI Energy | | | 1,039,800 | | | | 12,446,406 | |
| PBF Energy Class A | | | 297,900 | | | | 12,196,026 | |
| | | | | | | | 105,720,571 | |
| Financial Services — 21.58% | | | | | | | | |
| American Equity Investment Life Holding | | | 239,571 | | | | 12,484,045 | |
| Assurant | | | 132,600 | | | | 16,670,472 | |
| Axis Capital Holdings | | | 282,200 | | | | 15,190,826 | |
| Bank of NT Butterfield & Son | | | 318,000 | | | | 8,700,480 | |
| Bread Financial Holdings | | | 252,900 | | | | 7,938,531 | |
| Cadence Bank | | | 573,750 | | | | 11,268,450 | |
| Columbia Banking System | | | 816,333 | | | | 16,555,233 | |
| East West Bancorp | | | 371,686 | | | | 19,621,304 | |
| Essent Group | | | 342,200 | | | | 16,014,960 | |
| First Financial Bancorp | | | 650,350 | | | | 13,293,154 | |
| First Interstate BancSystem Class A | | | 405,449 | | | | 9,665,904 | |
| FNB | | | 1,975,700 | | | | 22,602,008 | |
| Hancock Whitney | | | 651,250 | | | | 24,994,975 | |
| Hanover Insurance Group | | | 137,900 | | | | 15,586,837 | |
| Hope Bancorp | | | 1,028,370 | | | | 8,658,875 | |
| Sandy Spring Bancorp | | | 251,800 | | | | 5,710,824 | |
| Selective Insurance Group | | | 152,040 | | | | 14,588,238 | |
| Stewart Information Services | | | 251,800 | | | | 10,359,052 | |
| Stifel Financial | | | 433,950 | | | | 25,893,797 | |
| Synovus Financial | | | 578,250 | | | | 17,492,063 | |
| Valley National Bancorp | | | 2,700,800 | | | | 20,931,200 | |
| Washington Federal | | | 402,750 | | | | 10,680,930 | |
| Webster Financial | | | 629,283 | | | | 23,755,433 | |
| | | | | | | | 348,657,591 | |
| Healthcare — 4.40% | | | | | | | | |
| Avanos Medical † | | | 406,000 | | | | 10,377,360 | |
| Integer Holdings † | | | 199,200 | | | | 17,651,112 | |
| Integra LifeSciences Holdings † | | | 338,600 | | | | 13,926,618 | |
| NuVasive † | | | 177,800 | | | | 7,394,702 | |
| Prestige Consumer Healthcare † | | | 228,350 | | | | 13,570,840 | |
| Service Corp. International | | | 126,350 | | | | 8,160,947 | |
| | | | | | | | 71,081,579 | |
| Industrials — 15.45% | | | | | | | | |
| Atkore † | | | 232,600 | | | | 36,271,644 | |
| CACI International Class A † | | | 57,800 | | | | 19,700,552 | |
| Concentrix | | | 101,300 | | | | 8,179,975 | |
| H&E Equipment Services | | | 317,100 | | | | 14,507,325 | |
| ITT | | | 305,580 | | | | 28,483,112 | |
| KBR | | | 334,825 | | | | 21,783,714 | |
| MasTec † | | | 288,446 | | | | 34,027,975 | |
| Regal Rexnord | | | 100,590 | | | | 15,480,801 | |
| Terex | | | 302,800 | | | | 18,116,524 | |
| Timken | | | 201,450 | | | | 18,438,718 | |
| WESCO International | | | 92,850 | | | | 16,625,721 | |
| Zurn Elkay Water Solutions | | | 666,900 | | | | 17,932,941 | |
| | | | | | | | 249,549,002 | |
| Real Estate Investment Trusts — 7.89% | | | | | | | | |
| Apple Hospitality REIT | | | 961,000 | | | | 14,520,710 | |
| Independence Realty Trust | | | 1,027,270 | | | | 18,716,859 | |
Schedule of investments
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
| | | Number of
shares | | Value (US $) |
| Common Stocks (continued) | | | | |
| Real Estate Investment Trusts (continued) | | | | | | | | |
| Kite Realty Group Trust | | | 733,973 | | | $ | 16,396,957 | |
| LXP Industrial Trust | | | 1,714,050 | | | | 16,711,988 | |
| National Health Investors | | | 223,900 | | | | 11,736,838 | |
| Outfront Media | | | 860,500 | | | | 13,527,060 | |
| RPT Realty | | | 756,700 | | | | 7,907,515 | |
| Spirit Realty Capital | | | 383,750 | | | | 15,112,075 | |
| Tricon Residential | | | 1,465,100 | | | | 12,907,531 | |
| | | | | | | | 127,537,533 | |
| Technology — 11.52% | | | | | | | | |
| Belden | | | 197,800 | | | | 18,919,570 | |
| Cirrus Logic † | | | 193,800 | | | | 15,699,738 | |
| Diodes † | | | 201,400 | | | | 18,627,486 | |
| Flex † | | | 880,266 | | | | 24,330,552 | |
| Leonardo DRS † | | | 670,500 | | | | 11,626,470 | |
| NCR † | | | 310,109 | | | | 7,814,747 | |
| NetScout Systems † | | | 407,963 | | | | 12,626,455 | |
| Power Integrations | | | 230,500 | | | | 21,821,435 | |
| TD SYNNEX | | | 116,000 | | | | 10,904,000 | |
| TTM Technologies † | | | 1,147,312 | | | | 15,947,637 | |
| Viavi Solutions † | | | 974,500 | | | | 11,041,085 | |
| Vishay Intertechnology | | | 570,200 | | | | 16,763,880 | |
| | | | | | | | 186,123,055 | |
| Transportation — 2.59% | | | | | | | | |
| Kirby † | | | 165,000 | | | | 12,696,750 | |
| Saia † | | | 27,150 | | | | 9,296,431 | |
| Werner Enterprises | | | 449,900 | | | | 19,876,582 | |
| | | | | | | | 41,869,763 | |
| Utilities — 3.68% | | | | | | | | |
| ALLETE | | | 269,900 | | | | 15,646,103 | |
| Black Hills | | | 309,360 | | | | 18,642,034 | |
| OGE Energy | | | 359,500 | | | | 12,909,645 | |
| Southwest Gas Holdings | | | 193,200 | | | | 12,297,180 | |
| | | | | | | | 59,494,962 | |
Total Common Stocks
(cost $1,169,892,867) | | | | | | | 1,572,774,096 | |
| | | | | | | | | |
| Short-Term Investments — 2.68% | | | | | | | | |
| Money Market Mutual Funds — 2.68% | | | | | | | | |
| BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | | | 10,800,690 | | | | 10,800,690 | |
| Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | | | 10,800,690 | | | | 10,800,690 | |
| Goldman Sachs Financial Square Government Fund – Institutional Shares (seven- day effective yield 5.14%) | | | 10,800,690 | | | | 10,800,690 | |
| Morgan Stanley Institutional | | | | | | | | |
| Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | | | 10,800,690 | | | | 10,800,690 | |
Total Short-Term Investments
(cost $43,202,760) | | | | | | | 43,202,760 | |
Total Value of Securities—100.02%
(cost $1,213,095,627) | | | | | | $ | 1,615,976,856 | |
| | |
| † | Non-income producing security. |
Summary of abbreviations:
REIT – Real Estate Investment Trust
See accompanying notes, which are an integral part of the financial statements.
Statement of assets and liabilities
| Delaware VIP® Trust — Delaware VIP Small Cap Value Series | June 30, 2023 (Unaudited) |
| Assets: | | |
| Investments, at value* | | $ | 1,615,976,856 | |
| Cash | | | 166,126 | |
| Dividends and interest receivable | | | 2,421,440 | |
| Receivable for securities sold | | | 1,688,717 | |
| Receivable for series shares sold | | | 99,980 | |
| Foreign tax reclaims receivable | | | 16,765 | |
| Prepaid expenses | | | 214 | |
| Other assets | | | 12,778 | |
| Total Assets | | | 1,620,382,876 | |
| Liabilities: | | | | |
| Payable for securities purchased | | | 1,272,010 | |
| Other accrued expenses | | | 1,242,146 | |
| Payable for series shares redeemed | | | 968,824 | |
| Investment management fees payable to affiliates | | | 902,778 | |
| Distribution fees payable to affiliates | | | 216,401 | |
| Administration expenses payable to affiliates | | | 64,400 | |
| Total Liabilities | | | 4,666,559 | |
| Total Net Assets | | $ | 1,615,716,317 | |
| | | | | |
| Net Assets Consist of: | | | | |
| Paid-in capital | | $ | 1,151,063,704 | |
| Total distributable earnings (loss) | | | 464,652,613 | |
| Total Net Assets | | $ | 1,615,716,317 | |
| | | | | |
| Net Asset Value | | | | |
| Standard Class: | | | | |
| Net assets | | $ | 713,488,047 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 19,972,146 | |
| Net asset value per share | | $ | 35.72 | |
| Service Class: | | | | |
| Net assets | | $ | 902,228,270 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 25,380,006 | |
| Net asset value per share | | $ | 35.55 | |
| | | | |
| *Investments, at cost | | $ | 1,213,095,627 | |
See accompanying notes, which are an integral part of the financial statements.
Statement of operations
| Delaware VIP® Trust — Delaware VIP Small Cap Value Series | Six months ended June 30, 2023 (Unaudited) |
| Investment Income: | | |
| Dividends | | $ | 15,410,927 | |
| Foreign tax withheld | | | (23,777 | ) |
| | | | 15,387,150 | |
| |
| Expenses: | | | | |
| Management fees | | | 5,088,152 | |
| Distribution expenses — Service Class | | | 1,318,191 | |
| Dividend disbursing and transfer agent fees and expenses | | | 288,068 | |
| Reports and statements to shareholders expenses | | | 172,996 | |
| Accounting and administration expenses | | | 104,225 | |
| Legal fees | | | 63,824 | |
| Trustees’ fees and expenses | | | 57,268 | |
| Custodian fees | | | 24,965 | |
| Audit and tax fees | | | 15,050 | |
| Other | | | 11,629 | |
| | | | 7,144,368 | |
| Less expenses paid indirectly | | | (1 | ) |
| Total operating expenses | | | 7,144,367 | |
| Net Investment Income (Loss) | | | 8,242,783 | |
| |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on investments | | | 54,293,245 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (23,577,637 | ) |
| Net Realized and Unrealized Gain (Loss) | | | 30,715,608 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 38,958,391 | |
See accompanying notes, which are an integral part of the financial statements.
Statements of changes in net assets
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
| | | Six months
ended
6/30/23
(Unaudited) | | | Year ended
12/31/22 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 8,242,783 | | | $ | 10,594,420 | |
| Net realized gain (loss) | | | 54,293,245 | | | | 59,439,084 | |
| Net change in unrealized appreciation (depreciation) | | | (23,577,637 | ) | | | (268,769,425 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 38,958,391 | | | | (198,735,921 | ) |
| | | | | | | | | |
| Dividends and Distributions to Shareholders from: | | | | | | | | |
| Distributable earnings: | | | | | | | | |
| Standard Class | | | (26,805,345 | ) | | | (35,691,430 | ) |
| Service Class | | | (42,956,210 | ) | | | (71,917,836 | ) |
| | | | (69,761,555 | ) | | | (107,609,266 | ) |
| | | | | | | | | |
| Capital Share Transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Standard Class | | | 78,921,122 | | | | 125,569,762 | |
| Service Class | | | 38,841,737 | | | | 105,814,731 | |
| | | | | | | | | |
| Net assets from merger:1 | | | | | | | | |
| Standard Class | | | 183,614,796 | | | | — | |
| | | | | | | | | |
| Net asset value of shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 26,805,345 | | | | 35,691,430 | |
| Service Class | | | 42,956,210 | | | | 71,917,836 | |
| | | | 371,139,210 | | | | 338,993,759 | |
| Cost of shares redeemed: | | | | | | | | |
| Standard Class | | | (83,961,242 | ) | | | (71,175,072 | ) |
| Service Class | | | (47,204,005 | ) | | | (171,408,504 | ) |
| | | | (131,165,247 | ) | | | (242,583,576 | ) |
| Increase in net assets derived from capital share transactions | | | 239,973,963 | | | | 96,410,183 | |
| Net Increase (Decrease) in Net Assets | | | 209,170,799 | | | | (209,935,004 | ) |
| | | | | | | | | |
| Net Assets: | | | | | | | | |
| Beginning of period | | | 1,406,545,518 | | | | 1,616,480,522 | |
| End of period | | $ | 1,615,716,317 | | | $ | 1,406,545,518 | |
1 See Note 5 in “Notes to financial statements.”
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Delaware VIP® Small Cap Value Series Standard Class
Selected data for each share of the Series outstanding throughout each period were as follows:
| | | Six months
ended
6/30/231 | | | Year ended | |
| | | (Unaudited) | | | 12/31/22 | | | 12/31/21 | | | 12/31/20 | | | 12/31/19 | | | 12/31/18 | |
| Net asset value, beginning of period | | $ | 37.06 | | | $ | 45.54 | | | $ | 34.16 | | | $ | 38.30 | | | $ | 32.76 | | | $ | 42.73 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income2 | | | 0.24 | | | | 0.36 | | | | 0.32 | | | | 0.35 | | | | 0.44 | | | | 0.41 | |
| Net realized and unrealized gain (loss) | | | 0.33 | | | | (5.69 | ) | | | 11.41 | | | | (2.28 | ) | | | 8.48 | | | | (7.03 | ) |
| Total from investment operations | | | 0.57 | | | | (5.33 | ) | | | 11.73 | | | | (1.93 | ) | | | 8.92 | | | | (6.62 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.35 | ) | | | (0.34 | ) | | | (0.35 | ) | | | (0.41 | ) | | | (0.40 | ) | | | (0.35 | ) |
| Net realized gain | | | (1.56 | ) | | | (2.81 | ) | | | — | | | | (1.80 | ) | | | (2.98 | ) | | | (3.00 | ) |
| Total dividends and distributions | | | (1.91 | ) | | | (3.15 | ) | | | (0.35 | ) | | | (2.21 | ) | | | (3.38 | ) | | | (3.35 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 35.72 | | | $ | 37.06 | | | $ | 45.54 | | | $ | 34.16 | | | $ | 38.30 | | | $ | 32.76 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total return3 | | | 1.83 | % | | | (12.09 | )% | | | 34.42 | % | | | (1.90 | )% | | | 28.14 | % | | | (16.72 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | | $ | 713,488 | | | $ | 511,974 | | | $ | 522,319 | | | $ | 424,213 | | | $ | 435,375 | | | $ | 357,318 | |
| Ratio of expenses to average net assets4 | | | 0.80 | % | | | 0.78 | % | | | 0.75 | % | | | 0.78 | % | | | 0.77 | % | | | 0.77 | % |
| Ratio of net investment income to average net assets | | | 1.32 | % | | | 0.92 | % | | | 0.77 | % | | | 1.20 | % | | | 1.22 | % | | | 1.03 | % |
| Portfolio turnover | | | 17 | % | | | 23 | % | | | 13 | % | | | 24 | % | | | 17 | % | | | 18 | % |
| | |
| 1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2 | Calculated using average shares outstanding. |
| 3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 4 | Expense ratios do not include expenses of any investment companies in which the Series invests. |
See accompanying notes, which are an integral part of the financial statements.
Delaware VIP® Small Cap Value Series Service Class
Selected data for each share of the Series outstanding throughout each period were as follows:
| | | Six months
ended
6/30/231 | | | Year ended | |
| | | (Unaudited) | | | 12/31/22 | | | 12/31/21 | | | 12/31/20 | | | 12/31/19 | | | 12/31/18 | |
| Net asset value, beginning of period | | $ | 36.82 | | | $ | 45.26 | | | $ | 33.98 | | | $ | 38.06 | | | $ | 32.58 | | | $ | 42.52 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income2 | | | 0.18 | | | | 0.24 | | | | 0.19 | | | | 0.26 | | | | 0.33 | | | | 0.29 | |
| Net realized and unrealized gain (loss) | | | 0.34 | | | | (5.66 | ) | | | 11.35 | | | | (2.22 | ) | | | 8.42 | | | | (6.98 | ) |
| Total from investment operations | | | 0.52 | | | | (5.42 | ) | | | 11.54 | | | | (1.96 | ) | | | 8.75 | | | | (6.69 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.23 | ) | | | (0.21 | ) | | | (0.26 | ) | | | (0.32 | ) | | | (0.29 | ) | | | (0.25 | ) |
| Net realized gain | | | (1.56 | ) | | | (2.81 | ) | | | — | | | | (1.80 | ) | | | (2.98 | ) | | | (3.00 | ) |
| Total dividends and distributions | | | (1.79 | ) | | | (3.02 | ) | | | (0.26 | ) | | | (2.12 | ) | | | (3.27 | ) | | | (3.25 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 35.55 | | | $ | 36.82 | | | $ | 45.26 | | | $ | 33.98 | | | $ | 38.06 | | | $ | 32.58 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total return3 | | | 1.69 | % | | | (12.35 | )% | | | 34.02 | % | | | (2.18 | )% | | | 27.72 | % | | | (16.95 | )%4 |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | | $ | 902,228 | | | $ | 894,572 | | | $ | 1,094,161 | | | $ | 880,071 | | | $ | 879,365 | | | $ | 700,824 | |
| Ratio of expenses to average net assets5 | | | 1.10 | % | | | 1.08 | % | | | 1.05 | % | | | 1.08 | % | | | 1.07 | % | | | 1.05 | % |
| Ratio of expenses to average net assets prior to fees waived5 | | | 1.10 | % | | | 1.08 | % | | | 1.05 | % | | | 1.08 | % | | | 1.07 | % | | | 1.07 | % |
| Ratio of net investment income to average net assets | | | 1.02 | % | | | 0.62 | % | | | 0.47 | % | | | 0.90 | % | | | 0.92 | % | | | 0.74 | % |
| Ratio of net investment income to average net assets prior to fees waived | | | 1.02 | % | | | 0.62 | % | | | 0.47 | % | | | 0.90 | % | | | 0.92 | % | | | 0.72 | % |
| Portfolio turnover | | | 17 | % | | | 23 | % | | | 13 | % | | | 24 | % | | | 17 | % | | | 18 | % |
| | |
| 1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2 | Calculated using average shares outstanding. |
| 3 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 4 | Total return during the period reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. |
| 5 | Expense ratios do not include expenses of any investment companies in which the Series invests. |
See accompanying notes, which are an integral part of the financial statements.
Notes to financial statements
| Delaware VIP® Trust — Delaware VIP Small Cap Value Series | June 30, 2023 (Unaudited) |
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust. The Trust consists of 10 series, each of which is treated as a separate entity for certain matters under the Investment Company Act of 1940, as amended (1940 Act). These financial statements and the related notes pertain to Delaware VIP Small Cap Value Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the 1940 Act and offers Standard Class and Service Class shares. The Standard Class shares do not carry a distribution and service (12b-1) fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
1. Significant Accounting Policies
The Series follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Series.
Security Valuation — Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and the ask prices will be used, which approximates fair value. Open-end investment companies, other than ETFs, are valued at their published net asset value (NAV). Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by the Series’ valuation designee, Delaware Management Company (DMC). Subject to the oversight of the Trust’s Board of Trustees (Board), DMC, as valuation designee, has adopted policies and procedures to fair value securities for which market quotations are not readily available consistent with the requirements of Rule 2a-5 under the 1940 Act. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Restricted securities and private placements are valued at fair value.
Federal Income Taxes — No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken or expected to be taken on the Series’ federal income tax returns through the six months ended June 30, 2023, and for all open tax years (years ended December 31, 2019–December 31, 2022), and has concluded that no provision for federal income tax is required in the Series’ financial statements. If applicable, the Series recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statement of operations.” During the six months ended June 30, 2023, the Series did not incur any interest or tax penalties.
Class Accounting — Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Income and capital gain distributions from any Underlying Funds in which the Series invests are recorded on the ex-dividend date. Distributions received from investments in real estate investment trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to reclassification
upon notice of the character of such distributions by the issuer, which are estimated. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, at least annually. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expenses paid under this arrangement are included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.”
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays DMC, a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly at the rates of 0.75% on the first $500 million of average daily net assets of the Series, 0.70% on the next $500 million, 0.65% on the next $1.5 billion, and 0.60% on average daily net assets in excess of $2.5 billion.
Effective May 1, 2023, DMC has contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding any 12b-1 fees, acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations), in order to prevent total annual series operating expenses from exceeding 0.80% of the Series’ average daily net assets for the Standard Class and the Service Class through June 30, 2023.* These waivers and reimbursements may only be terminated by agreement of DMC and the Series. The waivers and reimbursements are accrued daily and received monthly.
DMC may permit its affiliate, Macquarie Investment Management Global Limited (MIMGL) to execute Series security trades on its behalf. DMC may also seek quantitative support from MIMGL. Although MIMGL serves as Sub-Advisor, DMC has ultimate responsibility for all investment advisory services. For these services, DMC, not the Series, may pay MIMGLa portion of its investment management fee.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; 0.0025% of the next $45 billion; and 0.0015% of aggregate average daily net assets in excess of $90 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the six months ended June 30, 2023, the Series paid $23,970 for these services.
DIFSC is also the transfer agent and dividend disbursing agent of the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Series’ average daily net assets. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended June 30, 2023, the Series paid $54,329 for these services. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are paid by the Series and are also included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees that are calculated daily and paid as invoices are received on a monthly or quarterly basis.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual 12b-1 fee of 0.30% of the average daily net assets of the Service Class shares. The fees are calculated daily and paid monthly. Standard Class shares do not pay a 12b-1 fee.
As provided in the investment management agreement, the Series bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to the Series. For the six months ended June 30, 2023, the Series paid $18,030 for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
Cross trades for the six months ended June 30, 2023 were executed by the Series pursuant to procedures adopted by the Board designed to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds of investment companies, or between a fund of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment advisor (or affiliated investment advisors), common directors/trustees and/or common officers. At its regularly scheduled meetings, the Board review a report related to the Series’ compliance with the procedures adopted by the Board. Pursuant to these procedures, for the six months ended June 30, 2023, the Series engaged in Rule 17a-7 securities purchases of $20,110,761.
In addition to the management fees and other expenses of the Series, the Series indirectly bears the investment management fees and other expenses of any Underlying Funds, including ETFs in which it invests. The amount of these fees and expenses incurred indirectly by the Series will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
*The aggregate contractual waiver period covering this report is from May 1, 2023 through April 30, 2024.
3. Investments
For the six months ended June 30, 2023, the Series made purchases and sales of investment securities other than short-term investments as follows:
| Purchases | | $ | 244,283,620 | |
| Sales | | | 246,900,702 | |
At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for the Series were as follows:
| Cost of investments | | $ | 1,213,095,627 | |
| Aggregate unrealized appreciation of investments | | $ | 464,036,377 | |
| Aggregate unrealized depreciation of investments | | | (61,155,148 | ) |
| Net unrealized appreciation of investments | | $ | 402,881,229 | |
US GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
| Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
| | |
| Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for |
| | the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
| | |
| Level 3 – | Significant unobservable inputs, including the Series’ own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2023:
| | | Level 1 | |
| Securities | | |
| Assets: | | |
| Common Stocks | | $ | 1,572,774,096 | |
| Short-Term Investments | | | 43,202,760 | |
| Total Value of Securities | | $ | 1,615,976,856 | |
During the six months ended June 30, 2023, there were no transfers into or out of Level 3 investments. The Series’ policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning or end of the period in relation to the Series’ net assets. During the six months ended June 30, 2023, there were no Level 3 investments.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
4. Capital Shares
Transactions in capital shares were as follows:
| | | Six months
ended
6/30/23 | | | Year ended
12/31/22 | |
| Shares sold: | | | | |
| Standard Class | | | 2,149,812 | | | | 3,234,348 | |
| Service Class | | | 1,103,043 | | | | 2,683,554 | |
| | | | | | | | | |
| Shares from merger:1 | | | | | | | | |
| Standard Class | | | 5,477,774 | | | | — | |
| Shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 794,468 | | | | 908,641 | |
| Service Class | | | 1,278,840 | | | | 1,839,332 | |
| | | | 10,803,937 | | | | 8,665,875 | |
| Shares redeemed: | | | | | | | | |
| Standard Class | | | (2,264,719 | ) | | | (1,796,864 | ) |
| Service Class | | | (1,298,460 | ) | | | (4,401,550 | ) |
| | | | (3,563,179 | ) | | | (6,198,414 | ) |
| Net increase | | | 7,240,758 | | | | 2,467,461 | |
1 See Note 5.
5. Reorganization
On November 10, 2022, the Board approved a proposal to reorganize (the “Reorganization”) Delaware VIP Special Situations Series, a series of Delaware VIP Trust (the “Acquired Series”), with and into Delaware VIP Small Cap Value Series (the “Acquiring Series”). Pursuant to an Agreement and Plan of Reorganization (the “Plan”): (i) all of the property, assets, and goodwill of the Acquired Series were acquired by the Acquiring Series and (ii) the Trust, on behalf of the Acquiring Series, assumed the liabilities of the Acquired Series, in exchange for shares of the Acquiring Series. In accordance with the Plan, the Acquired Series liquidated and dissolved following the Reorganization. In approving the Reorganization, the Board considered various factors, including that the Acquiring Series and the Acquired Series share similar investment objectives, principal investment strategies and principal risks, and materially identical fundamental investment restrictions and that the Acquiring Series’ overall total expense ratio is expected to be lower than the corresponding Acquired Series’ total expense ratio following the Reorganization taking into account applicable expense limitation arrangements. The Reorganization was accomplished by a tax-free exchange of shares on April 28, 2023. For financial reporting purposes, assets received and shares issued by the Acquiring Series were recorded at fair value; however, the cost basis of the investments received from the Acquired Series was carried forward to align ongoing reporting of the Acquiring Series’ realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The share transactions associated with April 28, 2023 for the Reorganization were as follows:
| | | Acquired
Series
Net Assets | | Acquired
Series Shares
Outstanding | | Shares
Converted
to Acquiring
Series | | Acquiring
Series
Net Assets | | Conversion
Ratio | |
| | | Delaware VIP Special Situations Series | | Delaware VIP Small Cap Value Series | | | |
| Standard Class | | $ | 183,614,796 | | 7,122,824 | | 5,477,774 | | $ | 494,242,507 | | 0.7690 | |
The net assets of the Acquired Series before the Reorganization were $183,614,796. The net assets of the Acquiring Series immediately following the Reorganization were $1,523,088,055.
Assuming the Reorganization had been completed on January 1, 2023, Acquiring Series’ pro forma results of operations for the six months ended June 30, 2023, would have been as follows:
| Net investment income | | $ | 8,785,752 | |
| Net realized gain on investments | | | 61,023,965 | |
| Net change in unrealized appreciation (depreciation) | | | (39,529,129 | ) |
| Net increase in net assets resulting from operations | | $ | 30,280,588 | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practical to separate the amounts of revenue and earnings of the Acquired Series that have been included in the Acquiring Series’ Statement of Operations since the Reorganization was consummated on April 28, 2023.
6. Line of Credit
The Series, along with certain other funds in the Delaware Funds (Participants), is a participant in a $355,000,000 revolving line of credit (Agreement) intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the Agreement, the Participants are charged an annual commitment fee of 0.15%, which is allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants are permitted to borrow up to a maximum of one-third of their net assets under the Agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the Agreement expires on October 30, 2023.
The Series had no amounts outstanding as of June 30, 2023, or at any time during the period then ended.
7. Securities Lending
The Series, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by the Series is generally invested in an individual separate account. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. The Series can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
7. Securities Lending (continued)
provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower.
The Series records security lending income net of allocations to the security lending agent and the borrower. The Series may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of the Series’ cash collateral account may be less than the amount the Series would be required to return to the borrowers of the securities and the Series would be required to make up for this shortfall.
At June 30, 2023, the Series had no securities out on loan.
8. Credit and Market Risk
The global outbreak of COVID-19 resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the outbreak, its full economic impact and ongoing effects at the macro-level and on individual businesses are unpredictable and may result in significant and prolonged effects on a Series’ performance.
Investments in equity securities in general are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Series invests will cause the NAV of the Series to fluctuate.
The Series invests a significant portion of its assets in small companies and may be subject to certain risks associated with ownership of securities of such companies. Investments in small sized companies may be more volatile than investments in larger companies for a number of reasons, which include limited financial resources or a dependence on narrow product lines.
The Series invests in REITs and is subject to the risks associated with that industry. If the Series holds real estate directly or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. There were no direct real estate holdings during the six months ended June 30, 2023. The Series’ REIT holdings are also affected by interest rate changes, particularly if the REITs it holds use floating rate debt to finance their ongoing operations.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. As of June 30, 2023, there were no Rule 144A securities held by the Series.
9. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
10. New Regulatory Pronouncement
In October 2022, the Securities and Exchange Commission (SEC) adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
11. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in the Series’ financial statements.
Other Series information (Unaudited)
Delaware VIP® Trust — Delaware VIP Small Cap Value Series
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end funds (other than money market funds) to adopt and implement a program reasonably designed to assess and manage the fund’s “liquidity risk,” defined as the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund.
The Series has adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Series in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of the Series’ liquidity risk; (2) classification of each of the Series’ portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Series’ net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting the Series’ acquisition of Illiquid investments if, immediately after the acquisition, the Series would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if the Series’ holdings of Illiquid assets exceed 15% of the Series’ net assets. Series with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing the Series’ liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) the Series’ investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Series during both normal and reasonably foreseeable stressed conditions; and (3) the Series’ holdings of cash and cash equivalents and any borrowing arrangements. Classification of the Series’ portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. The Series primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 23-25, 2023, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2022 through March 31, 2023. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and the Series’ liquidity needs. The Series’ HLIM is set at an appropriate level and the Series complied with its HLIM at all times during the reporting period.
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. The Series’ Form N-PORT, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities, is available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-PORT are available without charge on the Series’ website at delawarefunds.com/vip/literature.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Series’ website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(3031246)
SA-VIPSCV-0823
Semiannual report
Delaware VIP® Trust
Delaware VIP Fund for Income Series
June 30, 2023
Table of contents
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 (“Macquarie Bank”), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Series is governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2023, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
The Series is distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
This material may be used in conjunction with the offering of shares in Delaware VIP® Fund for Income Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2023 Macquarie Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Disclosure of Series expenses
For the six-month period from January 1, 2023 to June 30, 2023 (Unaudited)
The investment objective of the Series is to seek high current income.
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2023 to June 30, 2023.
Actual expenses
The first section of the table shown, “Actual Series return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ expenses shown in the table reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
| | | Beginning
Account
Value
1/1/23 | | Ending
Account
Value
6/30/23 | | Annualized
Expense
Ratio | | Expenses
Paid
During
Period
1/1/23 to
6/30/23* |
| Actual Series return† | | | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,050.50 | | | 0.74% | | $ | 3.76 | |
| Service Class | | | 1,000.00 | | | | 1,048.20 | | | 1.04% | | | 5.28 | |
| Hypothetical 5% return (5% return before expenses) | | | | | | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,021.12 | | | 0.74% | | $ | 3.71 | |
| Service Class | | | 1,000.00 | | | | 1,019.64 | | | 1.04% | | | 5.21 | |
| * | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| † | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Series’ expenses reflected above, the Series also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds) in which it invests. The table above does not reflect the expenses of any Underlying Funds.
Security type / sector allocations
| Delaware VIP® Trust — Delaware VIP Fund for Income Series | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund’s sector designations.
| Security type / sector | Percentage
of net assets |
| Corporate Bonds | | 84.27 | % |
| Automotive | | 2.73 | % |
| Basic Industry | | 5.92 | % |
| Capital Goods | | 5.06 | % |
| Consumer Goods | | 0.98 | % |
| Electric | | 2.49 | % |
| Energy | | 12.39 | % |
| Financial Services | | 2.66 | % |
| Healthcare | | 6.11 | % |
| Insurance | | 4.51 | % |
| Leisure | | 6.90 | % |
| Media | | 8.81 | % |
| Retail | | 4.96 | % |
| Services | | 5.68 | % |
| Technology & Electronics | | 5.63 | % |
| Telecommunications | | 7.03 | % |
| Transportation | | 2.41 | % |
| Loan Agreements | | 11.13 | % |
| Short-Term Investments | | 3.39 | % |
| Total Value of Securities | | 98.79 | % |
| Receivables and Other Assets Net of Liabilities | | 1.21 | % |
| Total Net Assets | | 100.00 | % |
Schedule of investments
| Delaware VIP® Trust — Delaware VIP Fund for Income Series | June 30, 2023 (Unaudited) |
| | | Principal
amount° | | Value (US $) |
| Corporate Bonds — 84.27% | | | | | | |
| Automotive — 2.73% | | | | | | | | |
| Allison Transmission 144A 5.875% 6/1/29 # | | | 410,000 | | | $ | 400,262 | |
| Ford Motor 4.75% 1/15/43 | | | 265,000 | | | | 204,014 | |
| Ford Motor Credit | | | | | | | | |
| 3.375% 11/13/25 | | | 260,000 | | | | 242,009 | |
| 4.542% 8/1/26 | | | 270,000 | | | | 254,042 | |
| 7.35% 3/6/30 | | | 475,000 | | | | 485,624 | |
| Goodyear Tire & Rubber 5.25% 7/15/31 | | | 470,000 | | | | 408,818 | |
| | | | | | | | 1,994,769 | |
| Basic Industry — 5.92% | | | | | | | | |
| Chemours 144A 5.75% 11/15/28 # | | | 485,000 | | | | 446,125 | |
| CP Atlas Buyer 144A 7.00% 12/1/28 # | | | 250,000 | | | | 196,531 | |
| Domtar 144A 6.75% 10/1/28 # | | | 216,000 | | | | 183,594 | |
| First Quantum Minerals | | | | | | | | |
| 144A 6.875% 10/15/27 # | | | 440,000 | | | | 429,887 | |
| 144A 7.50% 4/1/25 # | | | 320,000 | | | | 320,051 | |
| 144A 8.625% 6/1/31 # | | | 550,000 | | | | 564,372 | |
| FMG Resources August 2006 | | | | | | | | |
| 144A 5.875% 4/15/30 # | | | 330,000 | | | | 314,617 | |
| 144A 6.125% 4/15/32 # | | | 150,000 | | | | 143,167 | |
| Novelis | | | | | | | | |
| 144A 3.875% 8/15/31 # | | | 95,000 | | | | 78,283 | |
| 144A 4.75% 1/30/30 # | | | 975,000 | | | | 867,420 | |
| Standard Industries 144A 3.375% 1/15/31 # | | | 554,000 | | | | 446,603 | |
| Vibrantz Technologies 144A 9.00% 2/15/30 # | | | 447,000 | | | | 343,059 | |
| | | | | | | | 4,333,709 | |
| Capital Goods — 5.06% | | | | | | | | |
| ARD Finance 144A PIK 6.50% 6/30/27 #, > | | | 425,000 | | | | 344,941 | |
| Ardagh Metal Packaging Finance USA | | | | | | | | |
| 144A 3.25% 9/1/28 # | | | 220,000 | | | | 189,221 | |
| 144A 4.00% 9/1/29 # | | | 230,000 | | | | 182,415 | |
| Bombardier | | | | | | | | |
| 144A 6.00% 2/15/28 # | | | 441,000 | | | | 417,322 | |
| 144A 7.50% 2/1/29 # | | | 130,000 | | | | 128,645 | |
| Clydesdale Acquisition Holdings | | | | | | | | |
| 144A 6.625% 4/15/29 # | | | 75,000 | | | | 71,614 | |
| 144A 8.75% 4/15/30 # | | | 240,000 | | | | 212,118 | |
| Mauser Packaging Solutions Holding | | | | | | | | |
| 144A 7.875% 8/15/26 # | | | 525,000 | | | | 522,159 | |
| 144A 9.25% 4/15/27 # | | | 190,000 | | | | 175,594 | |
| Roller Bearing Co. of America 144A 4.375% 10/15/29 # | | | 735,000 | | | | 659,411 | |
| Sealed Air 144A 5.00% 4/15/29 # | | | 215,000 | | | | 200,279 | |
| TransDigm 4.625% 1/15/29 | | | 670,000 | | | | 596,787 | |
| | | | | | | | 3,700,506 | |
| Consumer Goods — 0.98% | | | | | | | | |
| Cerdia Finanz 144A 10.50% 2/15/27 # | | | 320,000 | | | | 315,130 | |
| Pilgrim’s Pride 4.25% 4/15/31 | | | 465,000 | | | | 399,195 | |
| | | | | | | | 714,325 | |
| Electric — 2.49% | | | | | | | | |
| Calpine | | | | | | | | |
| 144A 4.625% 2/1/29 # | | | 155,000 | | | | 130,953 | |
| 144A 5.00% 2/1/31 # | | | 510,000 | | | | 422,460 | |
| 144A 5.125% 3/15/28 # | | | 270,000 | | | | 241,321 | |
| Vistra | | | | | | | | |
| 144A 7.00% 12/15/26 #, µ, ψ | | | 785,000 | | | | 685,796 | |
| 144A 8.00% 10/15/26 #, µ, ψ | | | 365,000 | | | | 341,683 | |
| | | | | | | | 1,822,213 | |
| Energy — 12.39% | | | | | | | | |
| Ascent Resources Utica Holdings | | | | | | | | |
| 144A 5.875% 6/30/29 # | | | 495,000 | | | | 442,125 | |
| 144A 7.00% 11/1/26 # | | | 230,000 | | | | 222,833 | |
| Callon Petroleum | | | | | | | | |
| 144A 7.50% 6/15/30 # | | | 475,000 | | | | 448,795 | |
| 144A 8.00% 8/1/28 # | | | 290,000 | | | | 287,075 | |
| CNX Midstream Partners 144A 4.75% 4/15/30 # | | | 240,000 | | | | 203,802 | |
| CNX Resources 144A 6.00% 1/15/29 # | | | 485,000 | | | | 450,025 | |
| Crestwood Midstream Partners | | | | | | | | |
| 144A 6.00% 2/1/29 # | | | 522,000 | | | | 487,947 | |
| 144A 7.375% 2/1/31 # | | | 70,000 | | | | 69,077 | |
| EQM Midstream Partners 144A 4.75% 1/15/31 # | | | 667,000 | | | | 585,055 | |
| 6.50% 7/15/48 | | | 124,000 | | | | 112,330 | |
| Genesis Energy | | | | | | | | |
| 7.75% 2/1/28 | | | 375,000 | | | | 357,116 | |
| 8.00% 1/15/27 | | | 775,000 | | | | 756,486 | |
| Hilcorp Energy I | | | | | | | | |
| 144A 6.00% 4/15/30 # | | | 520,000 | | | | 474,037 | |
| 144A 6.00% 2/1/31 # | | | 70,000 | | | | 62,659 | |
| 144A 6.25% 4/15/32 # | | | 268,000 | | | | 239,291 | |
| Murphy Oil 6.375% 7/15/28 | | | 820,000 | | | | 809,031 | |
| NuStar Logistics | | | | | | | | |
| 6.00% 6/1/26 | | | 267,000 | | | | 260,327 | |
| 6.375% 10/1/30 | | | 310,000 | | | | 296,109 | |
| Occidental Petroleum 4.50% 7/15/44 | | | 105,000 | | | | 80,650 | |
| Southwestern Energy | | | | | | | | |
| 5.375% 2/1/29 | | | 75,000 | | | | 70,700 | |
| 5.375% 3/15/30 | | | 750,000 | | | | 700,603 | |
Schedule of investments
Delaware VIP® Trust — Delaware VIP Fund for Income Series
| | | Principal
amount° | | Value (US $) |
| Corporate Bonds (continued) | | | | | | |
| Energy (continued) | | | | | | | | |
| USA Compression Partners | | | | | | | | |
| 6.875% 4/1/26 | | | 270,000 | | | $ | 264,734 | |
| 6.875% 9/1/27 | | | 500,000 | | | | 477,945 | |
| Vital Energy 144A 7.75% 7/31/29 # | | | 420,000 | | | | 346,903 | |
| Weatherford International 144A 8.625% 4/30/30 # | | | 545,000 | | | | 553,817 | |
| | | | | | | | 9,059,472 | |
| Financial Services — 2.66% | | | | | | | | |
| AerCap Holdings 5.875% 10/10/79 µ | | | 800,000 | | | | 755,669 | |
| Air Lease 4.65% 6/15/26 µ, ψ | | | 450,000 | | | | 376,677 | |
| Castlelake Aviation Finance DAC 144A 5.00% 4/15/27 # | | | 710,000 | | | | 629,366 | |
| Midcap Financial Issuer Trust 144A 6.50% 5/1/28 # | | | 210,000 | | | | 187,149 | |
| | | | | | | | 1,948,861 | |
| Healthcare — 6.11% | | | | | | | | |
| AthenaHealth Group 144A 6.50% 2/15/30 # | | | 200,000 | | | | 168,528 | |
| Avantor Funding 144A 3.875% 11/1/29 # | | | 425,000 | | | | 372,482 | |
| Bausch Health 144A 11.00% 9/30/28 # | | | 186,000 | | | | 132,581 | |
| Cheplapharm Arzneimittel 144A 5.50% 1/15/28 # | | | 425,000 | | | | 385,231 | |
| CHS 144A 4.75% 2/15/31 # | | | 470,000 | | | | 355,742 | |
| DaVita | | | | | | | | |
| 144A 3.75% 2/15/31 # | | | 240,000 | | | | 192,194 | |
| 144A 4.625% 6/1/30 # | | | 625,000 | | | | 537,243 | |
| Heartland Dental 144A 8.50% 5/1/26 # | | | 504,000 | | | | 452,144 | |
| Medline Borrower 144A 3.875% 4/1/29 # | | | 385,000 | | | | 334,953 | |
| ModivCare Escrow Issuer 144A 5.00% 10/1/29 # | | | 149,000 | | | | 110,401 | |
| Organon & Co. 144A 5.125% 4/30/31 # | | | 665,000 | | | | 549,532 | |
| Tenet Healthcare | | | | | | | | |
| 4.375% 1/15/30 | | | 490,000 | | | | 442,644 | |
| 6.125% 10/1/28 | | | 300,000 | | | | 289,098 | |
| 144A 6.75% 5/15/31 # | | | 145,000 | | | | 145,534 | |
| | | | | | | | 4,468,307 | |
| Insurance — 4.51% | | | | | | | | |
| HUB International 144A 5.625% 12/1/29 # | | | 470,000 | | | | 422,115 | |
| Jones Deslauriers Insurance Management | | | | | | | | |
| 144A 8.50% 3/15/30 # | | | 740,000 | | | | 755,803 | |
| 144A 10.50% 12/15/30 # | | | 560,000 | | | | 564,986 | |
| NFP | | | | | | | | |
| 144A 6.875% 8/15/28 # | | | 645,000 | | | | 560,783 | |
| 144A 7.50% 10/1/30 # | | | 185,000 | | | | 179,284 | |
| USI 144A 6.875% 5/1/25 # | | | 821,000 | | | | 815,918 | |
| | | | | | | | 3,298,889 | |
| Leisure — 6.90% | | | | | | | | |
| Boyd Gaming | | | | | | | | |
| 4.75% 12/1/27 | | | 505,000 | | | | 478,931 | |
| 144A 4.75% 6/15/31 # | | | 325,000 | | | | 290,681 | |
| Caesars Entertainment 144A 8.125% 7/1/27 # | | | 444,000 | | | | 454,920 | |
| Carnival | | | | | | | | |
| 144A 5.75% 3/1/27 # | | | 1,215,000 | | | | 1,119,641 | |
| 144A 6.00% 5/1/29 # | | | 100,000 | | | | 89,377 | |
| 144A 7.625% 3/1/26 # | | | 245,000 | | | | 240,179 | |
| Royal Caribbean Cruises 144A 5.50% 4/1/28 # | | | 1,362,000 | | | | 1,271,474 | |
| Scientific Games Holdings 144A 6.625% 3/1/30 # | | | 635,000 | | | | 559,387 | |
| Scientific Games International 144A 7.25% 11/15/29 # | | | 545,000 | | | | 546,172 | |
| | | | | | | | 5,050,762 | |
| Media — 8.81% | | | | | | | | |
| AMC Networks 4.25% 2/15/29 | | | 450,000 | | | | 242,414 | |
| Arches Buyer 144A 6.125% 12/1/28 # | | | 465,000 | | | | 401,179 | |
| CCO Holdings | | | | | | | | |
| 144A 4.50% 8/15/30 # | | | 875,000 | | | | 729,392 | |
| 4.50% 5/1/32 | | | 120,000 | | | | 95,932 | |
| 144A 5.375% 6/1/29 # | | | 365,000 | | | | 330,334 | |
| CMG Media 144A 8.875% 12/15/27 # | | | 705,000 | | | | 495,193 | |
| CSC Holdings | | | | | | | | |
| 144A 4.625% 12/1/30 # | | | 900,000 | | | | 401,379 | |
| 144A 5.00% 11/15/31 # | | | 440,000 | | | | 205,349 | |
| 144A 5.75% 1/15/30 # | | | 460,000 | | | | 217,849 | |
| Cumulus Media New Holdings 144A 6.75% 7/1/26 # | | | 484,000 | | | | 333,289 | |
| Directv Financing 144A 5.875% 8/15/27 # | | | 670,000 | | | | 607,563 | |
| DISH DBS 144A 5.75% 12/1/28 # | | | 670,000 | | | | 499,591 | |
| Gray Escrow II 144A 5.375% 11/15/31 # | | | 885,000 | | | | 587,545 | |
| Gray Television 144A 4.75% 10/15/30 # | | | 275,000 | | | | 186,784 | |
| Nexstar Media 144A 4.75% 11/1/28 # | | | 345,000 | | | | 299,678 | |
| Sirius XM Radio 144A 4.00% 7/15/28 # | | | 935,000 | | | | 813,396 | |
| | | | | | | | 6,446,867 | |
| | | Principal
amount° | | Value (US $) |
| Corporate Bonds (continued) | | | | | | | | |
| Retail — 4.96% | | | | | | | | |
| Asbury Automotive Group 144A 4.625% 11/15/29 # | | | 360,000 | | | $ | 319,944 | |
| 4.75% 3/1/30 | | | 320,000 | | | | 284,707 | |
| Bath & Body Works | | | | | | | | |
| 6.875% 11/1/35 | | | 295,000 | | | | 270,371 | |
| 6.95% 3/1/33 | | | 505,000 | | | | 453,704 | |
| Bloomin’ Brands 144A 5.125% 4/15/29 # | | | 495,000 | | | | 442,893 | |
| LSF9 Atlantis Holdings 144A 7.75% 2/15/26 # | | | 630,000 | | | | 587,256 | |
| Michaels | | | | | | | | |
| 144A 5.25% 5/1/28 # | | | 265,000 | | | | 214,377 | |
| 144A 7.875% 5/1/29 # | | | 205,000 | | | | 138,375 | |
| Murphy Oil USA 144A 3.75% 2/15/31 # | | | 450,000 | | | | 377,595 | |
| PetSmart 144A 7.75% 2/15/29 # | | | 540,000 | | | | 537,159 | |
| | | | | | | | 3,626,381 | |
| Services — 5.68% | | | | | | | | |
| ADT Security 144A 4.125% 8/1/29 # | | | 470,000 | | | | 406,477 | |
| CDW 3.569% 12/1/31 | | | 675,000 | | | | 570,551 | |
| Gartner 144A 4.50% 7/1/28 # | | | 395,000 | | | | 369,369 | |
| Iron Mountain | | | | | | | | |
| 144A 5.25% 3/15/28 # | | | 460,000 | | | | 430,561 | |
| 144A 5.25% 7/15/30 # | | | 260,000 | | | | 234,517 | |
| Prime Security Services Borrower 144A 5.75% 4/15/26 # | | | 265,000 | | | | 260,370 | |
| Staples 144A 7.50% 4/15/26 # | | | 795,000 | | | | 657,678 | |
| United Rentals North America 3.875% 2/15/31 | | | 435,000 | | | | 377,014 | |
| White Cap Buyer 144A 6.875% 10/15/28 # | | | 610,000 | | | | 553,627 | |
| White Cap Parent 144A PIK 8.25% 3/15/26 #, > | | | 308,000 | | | | 295,361 | |
| | | | | | | | 4,155,525 | |
| Technology & Electronics — 5.63% | | | | | | | | |
| Clarios Global 144A 8.50% 5/15/27 # | | | 365,000 | | | | 366,282 | |
| CommScope 144A 8.25% 3/1/27 # | | | 225,000 | | | | 180,310 | |
| CommScope Technologies 144A 6.00% 6/15/25 # | | | 389,000 | | | | 363,071 | |
| Entegris Escrow | | | | | | | | |
| 144A 4.75% 4/15/29 # | | | 212,000 | | | | 197,002 | |
| 144A 5.95% 6/15/30 # | | | 585,000 | | | | 561,382 | |
| Micron Technology 5.875% 9/15/33 | | | 365,000 | | | | 361,884 | |
| NCR | | | | | | | | |
| 144A 5.00% 10/1/28 # | | | 220,000 | | | | 196,590 | |
| 144A 5.125% 4/15/29 # | | | 195,000 | | | | 172,807 | |
| 144A 5.25% 10/1/30 # | | | 450,000 | | | | 391,886 | |
| Seagate HDD Cayman | | | | | | | | |
| 5.75% 12/1/34 | | | 210,000 | | | | 186,567 | |
| 144A 8.25% 12/15/29 # | | | 195,000 | | | | 203,847 | |
| Sensata Technologies 144A 4.00% 4/15/29 # | | | 575,000 | | | | 512,431 | |
| SS&C Technologies 144A 5.50% 9/30/27 # | | | 440,000 | | | | 421,810 | |
| | | | | | | | 4,115,869 | |
| Telecommunications — 7.03% | | | | | | | | |
| Altice France 144A 5.50% 10/15/29 # | | | 690,000 | | | | 494,138 | |
| Altice France Holding 144A 6.00% 2/15/28 # | | | 705,000 | | | | 344,552 | |
| Connect Finco 144A 6.75% 10/1/26 # | | | 590,000 | | | | 573,608 | |
| Consolidated Communications | | | | | | | | |
| 144A 5.00% 10/1/28 # | | | 520,000 | | | | 390,832 | |
| 144A 6.50% 10/1/28 # | | | 510,000 | | | | 402,900 | |
| Digicel International Finance 144A 8.75% 5/25/24 # | | | 410,000 | | | | 376,175 | |
| Frontier Communications Holdings | | | | | | | | |
| 144A 5.00% 5/1/28 # | | | 75,000 | | | | 64,783 | |
| 144A 5.875% 10/15/27 # | | | 615,000 | | | | 565,029 | |
| 5.875% 11/1/29 | | | 200,000 | | | | 146,202 | |
| 144A 6.75% 5/1/29 # | | | 255,000 | | | | 198,090 | |
| 144A 8.75% 5/15/30 # | | | 110,000 | | | | 107,610 | |
| Northwest Fiber 144A 4.75% 4/30/27 # | | | 615,000 | | | | 543,722 | |
| Sable International Finance 144A 5.75% 9/7/27 # | | | 320,000 | | | | 300,334 | |
| Vmed O2 UK Financing I 144A 4.75% 7/15/31 # | | | 485,000 | | | | 403,793 | |
| VZ Secured Financing 144A 5.00% 1/15/32 # | | | 285,000 | | | | 229,840 | |
| | | | | | | | 5,141,608 | |
| Transportation — 2.41% | | | | | | | | |
| Air Canada 144A 3.875% 8/15/26 # | | | 410,000 | | | | 380,379 | |
| American Airlines 144A 5.75% 4/20/29 # | | | 384,726 | | | | 373,907 | |
| Azul Investments 144A 5.875% 10/26/24 # | | | 225,000 | | | | 190,269 | |
| Delta Air Lines 7.375% 1/15/26 | | | 224,000 | | | | 233,717 | |
| Grupo Aeromexico 144A 8.50% 3/17/27 # | | | 655,000 | | | | 586,664 | |
| | | | | | | | 1,764,936 | |
Total Corporate Bonds
(cost $68,205,857) | | | | | | | 61,642,999 | |
Schedule of investments
Delaware VIP® Trust — Delaware VIP Fund for Income Series
| | | Principal
amount° | | Value (US $) |
| Loan Agreements — 11.13% | | | | | | | | |
| Amynta Agency Borrower 10.102% (SOFR01M + 5.00%) 2/28/28 • | | | 715,000 | | | $ | 697,125 | |
| Applied Systems 2nd Lien 11.992% (SOFR03M + 6.75%) 9/17/27 • | | | 928,583 | | | | 930,904 | |
| Calpine 7.70% (LIBOR01M + 2.50%) 12/16/27 • | | | 629 | | | | 629 | |
| Clarios Global 8.852% (SOFR01M + 3.75%) 5/6/30 • | | | 365,000 | | | | 364,088 | |
| CNT Holdings I 2nd Lien 11.709% (SOFR03M + 6.75%) 11/6/28 • | | | 251,211 | | | | 241,163 | |
| Epicor Software 2nd Lien 12.952% (SOFR01M + 7.85%) 7/31/28 • | | | 368,200 | | | | 369,811 | |
| Form Technologies Tranche B 9.825% (SOFR03M + 4.60%) 7/22/25 • | | | 628,957 | | | | 588,075 | |
| Guardian US Holdco 9.045% (SOFR03M + 4.00%) 1/31/30 • | | | 299,000 | | | | 297,225 | |
| Hamilton Projects Acquiror 9.717% (SOFR01M + 4.61%) 6/17/27 • | | | 553,980 | | | | 548,163 | |
| Hexion Holdings 1st Lien 9.779% (SOFR03M + 4.65%) 3/15/29 • | | | 128,700 | | | | 121,828 | |
| Hexion Holdings 2nd Lien 12.627% (SOFR01M + 7.54%) 3/15/30 • | | | 330,000 | | | | 273,900 | |
| HUB International TBD 6/8/30 X | | | 156,000 | | | | 156,470 | |
| Hunter Douglas Holding Tranche B-1 8.666% (SOFR03M + 3.50%) 2/26/29 • | | | 204,982 | | | | 195,438 | |
| INDICOR 9.742% (SOFR03M + 4.50%) 11/22/29 • | | | 669,323 | | | | 667,440 | |
| Northwest Fiber 1st Lien Tranche B-2 8.942% (SOFR01M + 3.86%) 4/30/27 • | | | 187,795 | | | | 183,757 | |
| PetsMart 8.952% (SOFR01M + 3.85%) 2/11/28 • | | | 110,448 | | | | 110,540 | |
| PMHC II 9.304% (SOFR03M + 4.25%) 4/23/29 • | | | 84,786 | | | | 74,975 | |
| Pre Paid Legal Services 2nd Lien 12.154% (LIBOR01M + 7.00%) 12/14/29 • | | | 100,000 | | | | 91,000 | |
| SPX Flow 9.702% (SOFR01M + 4.60%) 4/5/29 • | | | 406,078 | | | | 400,326 | |
| Swf Holdings I 9.217% (SOFR01M + 4.11%) 10/6/28 • | | | 401,749 | | | | 326,421 | |
| UKG 2nd Lien 10.271% (LIBOR03M + 5.25%) 5/3/27 • | | | 774,000 | | | | 751,264 | |
| Vantage Specialty Chemicals 1st Lien 9.897% (SOFR01M + 4.75%) 10/26/26 • | | | 766,150 | | | | 746,996 | |
Total Loan Agreements
(cost $8,212,078) | | | | | | | 8,137,538 | |
| | | | | | | |
| | | Number of
shares | | | Value (US $) |
| Short-Term Investments — 3.39% | | | | | | | | |
| Money Market Mutual Funds — 3.39% | | | | | | | | |
| BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | | | 620,870 | | | $ | 620,870 | |
| Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | | | 620,871 | | | | 620,871 | |
| Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | | | 620,872 | | | | 620,872 | |
| Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | | | 620,871 | | | | 620,871 | |
Total Short-Term Investments
(cost $2,483,484) | | | | | | | 2,483,484 | |
Total Value of Securities—98.79%
(cost $78,901,419) | | | | | | $ | 72,264,021 | |
| | |
| ° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
| # | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2023, the aggregate value of Rule 144A securities was $49,300,397, which represents 67.40% of the Series’ net assets. See Note 7 in “Notes to financial statements.” |
| > | PIK. 100% of the income received was in the form of cash. |
| µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2023. Rate will reset at a future date. |
| ψ | Perpetual security. Maturity date represents next call date. |
| • | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
| X | This loan will settle after June 30, 2023, at which time the interest rate, based on the LIBOR and the agreed upon spread on trade date, will be reflected. |
Summary of abbreviations:
DAC – Designated Activity Company
ICE – Intercontinental Exchange, Inc.
LIBOR – London Interbank Offered Rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR03M – ICE LIBOR USD 3 Month
PIK – Payment-in-kind
SOFR01M – Secured Overnight Financing Rate 1 Month
SOFR03M – Secured Overnight Financing Rate 3 Month
TBD – To be determined
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
Statement of assets and liabilities
| Delaware VIP® Trust — Delaware VIP Fund for Income Series | June 30, 2023 (Unaudited) |
| Assets: | | | |
| Investments, at value* | | $ | 72,264,021 | |
| Cash | | | 74,881 | |
| Dividends and interest receivable | | | 1,134,429 | |
| Receivable for securities sold | | | 40,429 | |
| Receivable for series shares sold | | | 4,029 | |
| Other assets | | | 632 | |
| Total Assets | | | 73,518,421 | |
| Liabilities: | | | | |
| Payable for securities purchased | | | 257,041 | |
| Investment management fees payable to affiliates | | | 60,776 | |
| Other accrued expenses | | | 39,506 | |
| Administration expenses payable to affiliates | | | 11,553 | |
| Payable for series shares redeemed | | | 2,390 | |
| Distribution fees payable to affiliates | | | 176 | |
| Total Liabilities | | | 371,442 | |
| Total Net Assets | | $ | 73,146,979 | |
| |
| Net Assets Consist of: | | | | |
| Paid-in capital | | $ | 87,875,792 | |
| Total distributable earnings (loss) | | | (14,728,813 | ) |
| Total Net Assets | | $ | 73,146,979 | |
| |
| Net Asset Value | | | | |
| Standard Class: | | | | |
| Net assets | | $ | 72,417,624 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 13,816,986 | |
| Net asset value per share | | $ | 5.24 | |
| Service Class: | | | | |
| Net assets | | $ | 729,355 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 139,606 | |
| Net asset value per share | | $ | 5.22 | |
|
| *Investments, at cost | | $ | 78,901,419 | |
See accompanying notes, which are an integral part of the financial statements.
Statement of operations
| Delaware VIP® Trust — Delaware VIP Fund for Income Series | Six months ended June 30, 2023 (Unaudited) |
| Investment Income: | | | | |
| Interest | | $ | 2,807,279 | |
| Dividends | | | 53,874 | |
| | | | 2,861,153 | |
| |
| Expenses: | | | | |
| Management fees | | | 239,674 | |
| Distribution expenses — Service Class | | | 876 | |
| Accounting and administration expenses | | | 25,005 | |
| Audit and tax fees | | | 21,981 | |
| Reports and statements to shareholders expenses | | | 6,397 | |
| Dividend disbursing and transfer agent fees and expenses | | | 4,101 | |
| Legal fees | | | 3,968 | |
| Custodian fees | | | 2,072 | |
| Trustees’ fees and expenses | | | 1,191 | |
| Other | | | 14,065 | |
| | | | 319,330 | |
| Less expenses waived | | | (45,594 | ) |
| Total operating expenses | | | 273,736 | |
| Net Investment Income (Loss) | | | 2,587,417 | |
| |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on investments | | | (1,909,149 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 2,933,662 | |
| Net Realized and Unrealized Gain (Loss) | | | 1,024,513 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 3,611,930 | |
See accompanying notes, which are an integral part of the financial statements.
Statements of changes in net assets
Delaware VIP® Trust — Delaware VIP Fund for Income Series
| | | Six months
ended
6/30/23
(Unaudited) | | | Year ended
12/31/22 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 2,587,417 | | | $ | 4,345,694 | |
| Net realized gain (loss) | | | (1,909,149 | ) | | | (1,985,226 | ) |
| Net change in unrealized appreciation (depreciation) | | | 2,933,662 | | | | (12,352,140 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 3,611,930 | | | | (9,991,672 | ) |
| | | | | | | | | |
| Dividends and Distributions to Shareholders from: | | | | | | | | |
| Distributable earnings: | | | | | | | | |
| Standard Class | | | (4,476,747 | ) | | | (5,758,945 | ) |
| Service Class | | | (40,842 | ) | | | (669 | ) |
| | | | (4,517,589 | ) | | | (5,759,614 | ) |
| | | | | | | | | |
| Capital Share Transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Standard Class | | | 1,453,379 | | | | 723,219 | |
| Service Class | | | 260,245 | | | | 448,272 | |
| | | | | | | | | |
| Net asset value of shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 4,476,747 | | | | 5,758,945 | |
| Service Class | | | 40,842 | | | | 669 | |
| | | | 6,231,213 | | | | 6,931,105 | |
| Cost of shares redeemed: | | | | | | | | |
| Standard Class | | | (5,995,125 | ) | | | (10,523,164 | ) |
| Service Class | | | (2,721 | ) | | | (3,593 | ) |
| | | | (5,997,846 | ) | | | (10,526,757 | ) |
| Increase (decrease) in net assets derived from capital share transactions | | | 233,367 | | | | (3,595,652 | ) |
| Net Decrease in Net Assets | | | (672,292 | ) | | | (19,346,938 | ) |
| | | | | | | | | |
| Net Assets: | | | | | | | | |
| Beginning of period | | | 73,819,271 | | | | 93,166,209 | |
| End of period | | $ | 73,146,979 | | | $ | 73,819,271 | |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Delaware VIP® Fund for Income Series Standard Class
Selected data for each share of the Series outstanding throughout each period were as follows:
| | | Six months
ended
6/30/231 | | | Year ended |
| | | (Unaudited) | | | 12/31/22 | | 12/31/21 | | 12/31/20 | | 12/31/192 | | 12/31/18 |
| Net asset value, beginning of period | | $ | 5.31 | | | $ | 6.41 | | | $ | 6.44 | | | $ | 6.36 | | | $ | 5.96 | | | $ | 6.45 | |
| |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income3 | | | 0.19 | | | | 0.30 | | | | 0.28 | | | | 0.29 | | | | 0.30 | | | | 0.30 | |
| Net realized and unrealized gain (loss) | | | 0.08 | | | | (0.99 | ) | | | 0.02 | | | | 0.16 | | | | 0.44 | | | | (0.46 | ) |
| Total from investment operations | | | 0.27 | | | | (0.69 | ) | | | 0.30 | | | | 0.45 | | | | 0.74 | | | | (0.16 | ) |
| |
| Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.34 | ) | | | (0.32 | ) | | | (0.33 | ) | | | (0.37 | ) | | | (0.34 | ) | | | (0.33 | ) |
| Net realized gain | | | — | | | | (0.09 | ) | | | — | | | | — | | | | — | | | | — | |
| Total dividends and distributions | | | (0.34 | ) | | | (0.41 | ) | | | (0.33 | ) | | | (0.37 | ) | | | (0.34 | ) | | | (0.33 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 5.24 | | | $ | 5.31 | | | $ | 6.41 | | | $ | 6.44 | | | $ | 6.36 | | | $ | 5.96 | |
| |
| Total return4 | | | 5.05 | %5 | | | (11.06 | )%5 | | | 4.88 | % | | | 7.95 | %5 | | | 12.78 | %5 | | | (2.58 | )% |
| |
| Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | | $ | 72,418 | | | $ | 73,373 | | | $ | 93,166 | | | $ | 97,868 | | | $ | 105,035 | | | $ | 100,198 | |
| Ratio of expenses to average net assets6 | | | 0.74 | % | | | 0.75 | % | | | 0.80 | % | | | 0.83 | % | | | 0.85 | % | | | 0.91 | % |
| Ratio of expenses to average net assets prior to fees waived6 | | | 0.86 | % | | | 0.86 | % | | | 0.80 | % | | | 0.87 | % | | | 0.88 | % | | | 0.91 | % |
| Ratio of net investment income to average net assets | | | 7.02 | % | | | 5.40 | % | | | 4.45 | % | | | 4.73 | % | | | 4.94 | % | | | 4.93 | % |
| Ratio of net investment income to average net assets prior to fees waived | | | 6.90 | % | | | 5.29 | % | | | 4.45 | % | | | 4.69 | % | | | 4.91 | % | | | 4.93 | % |
| Portfolio turnover | | | 21 | % | | | 35 | % | | | 86 | % | | | 131 | % | | | 115 | % | | | 73 | % |
| 1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2 | On October 4, 2019, the First Investors Life Series Fund For Income shares were reorganized into Standard Class shares of the Series. The Standard Class shares financial highlights for the period prior to October 4, 2019, reflect the performance of the First Investors Life Series Fund For Income shares. |
| 3 | Calculated using average shares outstanding. |
| 4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 5 | Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
| 6 | Expense ratios do not include expenses of any investment companies in which the Series invests. |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Delaware VIP® Fund for Income Series Service Class
Selected data for each share of the Series outstanding throughout the period were as follows:
| | | Six months
ended
6/30/232
(Unaudited) | | | 4/1/221
to
12/31/22 | |
| Net asset value, beginning of period | | $ | 5.30 | | | $ | 6.13 | |
| |
| Income (loss) from investment operations: | | | | | | | | |
| Net investment income3 | | | 0.18 | | | | 0.23 | |
| Net realized and unrealized gain (loss) | | | 0.07 | | | | (0.65 | ) |
| Total from investment operations | | | 0.25 | | | | (0.42 | ) |
| |
| Less dividends and distributions from: | | | | | | | | |
| Net investment income | | | (0.33 | ) | | | (0.32 | ) |
| Net realized gain | | | — | | | | (0.09 | ) |
| Total dividends and distributions | | | (0.33 | ) | | | (0.41 | ) |
| |
| Net asset value, end of period | | $ | 5.22 | | | $ | 5.30 | |
| |
| Total return4 | | | 4.82 | % | | | (7.18 | )% |
| |
| Ratios and supplemental data: | | | | | | | | |
| Net assets, end of period (000 omitted) | | $ | 729 | | | $ | 446 | |
| Ratio of expenses to average net assets5 | | | 1.04 | % | | | 1.04 | % |
| Ratio of expenses to average net assets prior to fees waived5 | | | 1.16 | % | | | 1.23 | % |
| Ratio of net investment income to average net assets | | | 6.78 | % | | | 5.90 | % |
| Ratio of net investment income to average net assets prior to fees waived | | | 6.66 | % | | | 5.71 | % |
| Portfolio turnover | | | 21 | % | | | 35 | %6 |
| 1 | Date of commencement of operations; ratios have been annualized and total return has not been annualized. |
| 2 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 3 | Calculated using average shares outstanding. |
| 4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during the period shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 5 | Expense ratios do not include expenses of any investment companies in which the Series invests. |
| 6 | Portfolio turnover is representative of the Series for the entire period. |
See accompanying notes, which are an integral part of the financial statements.
Notes to financial statements
| Delaware VIP® Trust — Delaware VIP Fund for Income Series | June 30, 2023 (Unaudited) |
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust. The Trust consists of 10 series, each of which is treated as a separate entity for certain matters under the Investment Company Act of 1940, as amended (1940 Act). These financial statements and the related notes pertain to Delaware VIP Fund for Income Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the 1940 Act and offers Standard Class and Service Class shares. The Standard Class shares do not carry a distribution and service (12b-1) fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
1. Significant Accounting Policies
The Series follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Series.
Security Valuation — Debt securities are valued based upon valuations provided by an independent pricing service or broker and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. US government and agency securities are valued at the mean between the bid and the ask prices, which approximates fair value. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. Open-end investment companies, other than exchange-traded funds (ETFs), are valued at their published net asset value (NAV). Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by the Series’ valuation designee, Delaware Management Company (DMC). Subject to the oversight of the Trust’s Board of Trustees (Board), DMC, as valuation designee, has adopted policies and procedures to fair value securities for which market quotations are not readily available consistent with the requirements of Rule 2a-5 under the 1940 Act. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Restricted securities and private placements are valued at fair value.
Federal Income Taxes — No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken or expected to be taken on the Series’ federal income tax returns through the six months ended June 30, 2023, and for all open tax years (years ended December 31, 2019–December 31, 2022), and has concluded that no provision for federal income tax is required in the Series’ financial statements. If applicable, the Series recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statement of operations.” During the six months ended June 30, 2023, the Series did not incur any interest or tax penalties.
Class Accounting — Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Interest income is recorded on an accrual basis. Income and capital gain distributions from any Underlying Funds in which the Series invests are recorded on the ex-dividend date. Discounts and premiums on debt securities are accreted or amortized to interest
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Fund for Income Series
1. Significant Accounting Policies (continued)
income, respectively, over the lives of the respective securities using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Realized gains (losses) on paydowns of asset and mortgage-backed securities are classified as interest income. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, at least annually. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expenses paid under this arrangement are included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.” For the six months ended June 30, 2023, the Series earned less than $1 under this arrangement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays DMC, a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly at the rates of 0.65% on the first $500 million of average daily net assets of the Series, 0.60% on the next $500 million, 0.55% on the next $1.5 billion, and 0.50% on average daily net assets in excess of $2.5 billion.
DMC has contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding any 12b-1 fees, acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations), in order to prevent total annual series operating expenses from exceeding 0.74% of the Series’ average daily net assets for the Standard Class and the Service Class from January 1, 2023 through June 30, 2023.* These waivers and reimbursements may only be terminated by agreement of DMC and the Series. The waivers and reimbursements are accrued daily and received monthly.
DMC may seek investment advice and recommendations from its affiliates: Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Global Limited (together, the “Affiliated Sub-Advisors”). DMC may also permit these Affiliated Sub-Advisors to execute Series security trades on behalf of DMC and exercise investment discretion for securities in certain markets where DMC believes it will be beneficial to utilize an Affiliated Sub-Advisor’s specialized market knowledge. Although the Affiliated Sub-Advisors serve as sub-advisors, DMC has ultimate responsibility for all investment advisory services. For these services, DMC, not the Series, pays each Affiliated Sub-Advisor a portion of its investment management fee.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; 0.0025% of the next $45 billion; and 0.0015% of aggregate average daily net assets in excess of $90 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the six months ended June 30, 2023, the Series paid $3,093 for these services.
DIFSC is also the transfer agent and dividend disbursing agent of the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Series’ average daily net assets. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended June 30, 2023, the Series paid $2,828 for these services. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are paid by the Series and are also included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees that are calculated daily and paid as invoices are received on a monthly or quarterly basis.
Pursuant to a distribution agreement and distribution plan, the Series pays DDLP, the distributor and an affiliate of DMC, an annual 12b-1 fee of 0.30% of the average daily net assets of the Service Class shares. The fees are calculated daily and paid monthly. Standard Class shares do not pay 12b-1 fees.
As provided in the investment management agreement, the Series bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to the Series. For the six months ended June 30, 2023, the Series paid $789 for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
In addition to the management fees and other expenses of the Series, the Series indirectly bears the investment management fees and other expenses of any Underlying Funds, including ETFs in which it invests. The amount of these fees and expenses incurred indirectly by the Series will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
*The aggregate contractual waiver period covering this report is from March 10, 2022 through April 30, 2024.
3. Investments
For the six months ended June 30, 2023, the Series made purchases and sales of investment securities other than short-term investments as follows:
| Purchases | | $ | 14,807,774 | |
| Sales | | | 17,280,719 | |
At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for the Series were as follows:
| Cost of investments | | $ | 79,304,663 | |
| Aggregate unrealized appreciation of investments | | $ | 308,730 | |
| Aggregate unrealized depreciation of investments | | | (7,349,372 | ) |
| Net unrealized depreciation of investments | | $ | (7,040,642 | ) |
At December 31, 2022, capital loss carryforwards available to offset future realized capital gains were as follows:
| Loss carryforward character | | | | |
| Short-term | | | Long-term | | | Total | |
| $ | 1,836,363 | | | $ | 6,323,494 | | | $ | 8,159,857 | |
US GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Fund for Income Series
3. Investments (continued)
asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
| Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
| | |
| Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
| | |
| Level 3 – | Significant unobservable inputs, including the Series’ own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2023:
| | | | Level 1 | | | | Level 2 | | | | Total | |
| Securities | | | | | | | | | | | | |
| Assets: | | | | | | | | | | | | |
| Corporate Bonds | | | $ | — | | | | $ | 61,642,999 | | | | $ | 61,642,999 | |
| Loan Agreements | | | | — | | | | | 8,137,538 | | | | | 8,137,538 | |
| Short-Term Investments | | | | 2,483,484 | | | | | — | | | | | 2,483,484 | |
| Total Value of Securities | | | $ | 2,483,484 | | | | $ | 69,780,537 | | | | $ | 72,264,021 | |
During the six months ended June 30, 2023, there were no transfers into or out of Level 3 investments. The Series’ policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning or end of the period in relation to the Series’ net assets. During the six months ended June 30, 2023, there were no Level 3 investments.
4. Capital Shares
Transactions in capital shares were as follows:
| | | Six months
ended
6/30/23 | | | Year ended
12/31/22 | |
| Shares sold: | | | | | | | | |
| Standard Class | | | 269,412 | | | | 128,876 | |
| Service Class | | | 48,178 | | | | 84,603 | |
| Shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 862,572 | | | | 1,033,922 | |
| Service Class | | | 7,900 | | | | 120 | |
| | | | 1,188,062 | | | | 1,247,521 | |
| Shares redeemed: | | | | | | | | |
| Standard Class | | | (1,120,166 | ) | | | (1,888,558 | ) |
| Service Class | | | (516 | ) | | | (679 | ) |
| | | | (1,120,682 | ) | | | (1,889,237 | ) |
| Net increase (decrease) | | | 67,380 | | | | (641,716 | ) |
5. Line of Credit
The Series, along with certain other funds in the Delaware Funds (Participants), is a participant in a $355,000,000 revolving line of credit (Agreement) intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the Agreement, the Participants are charged an annual commitment fee of 0.15%, which is allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants are permitted to borrow up to a maximum of one-third of their net assets under the Agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the Agreement expires on October 30, 2023.
The Series had no amounts outstanding as of June 30, 2023, or at any time during the period then ended.
6. Securities Lending
The Series, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by the Series is generally invested in an individual separate account. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Fund for Income Series
6. Securities Lending (continued)
US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. The Series can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Series may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of the Series’ cash collateral account may be less than the amount the Series would be required to return to the borrowers of the securities and the Series would be required to make up for this shortfall.
At June 30, 2023, the Series had no securities out on loan.
7. Credit and Market Risk
The global outbreak of COVID-19 resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the outbreak, its full economic impact and ongoing effects at the macro-level and on individual businesses are unpredictable and may result in significant and prolonged effects on a Series’ performance.
When interest rates rise, fixed income securities (i.e. debt obligations) generally will decline in value. These declines in value are greater for fixed income securities with longer maturities or durations. Interest rate changes are influenced by a number of factors, such as government policy, monetary policy, inflation expectations, and the supply and demand of bonds. A series may be subject to a greater risk of rising interest rates when interest rates are low or inflation rates are high or rising.
IBOR is the risk that changes related to the use of the London interbank offered rate (LIBOR) and other interbank offered rate (collectively, IBORs) could have adverse impacts on financial instruments that reference LIBOR (or the corresponding IBOR). The abandonment of LIBOR could affect the value and liquidity of instruments that reference LIBOR. The use of alternative reference rate products may impact investment strategy performance. These risks may also apply with respect to changes in connection with other IBORs, such as the euro overnight index average (EONIA), which are also the subject of recent reform.
The Series invests in bank loans and other securities that may subject it to direct indebtedness risk, the risk that the Series will not receive payment of principal, interest, and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Series more protection than unsecured loans in the event of nonpayment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Series may involve revolving credit facilities or other standby financing commitments that obligate the
Series to pay additional cash on a certain date or on demand. These commitments may require the Series to increase its investment in a company at a time when the Series might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that the Series is committed to advance additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments. When a loan agreement is purchased, the Series may pay an assignment fee. On an ongoing basis, the Series may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by a borrower. Prepayment penalty, facility, commitment, consent, and amendment fees are recorded to income as earned or paid.
As the Series may be required to rely upon another lending institution to collect and pass on to the Series amounts payable with respect to the loan and to enforce the Series’ rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Series from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Series.
The Series invests a portion of its assets in high yield fixed income securities, which are securities rated lower than BBB- by Standard & Poor’s Financial Services LLC and Baa3 by Moody’s Investors Service, Inc. or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A, promulgated under the Securities Act of 1933, as amended , and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. Rule 144A securities have been identified on the “Schedule of investments.”
8. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
9. Recent Accounting Pronouncements
In March 2020, FASB issued an Accounting Standards Update (ASU), ASU 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. On December 21, 2022, FASB issued ASU 2022-06 to defer the sunset date of Accounting Standards Codification Topic 848 until December 31, 2024. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2024. Management is currently evaluating ASU 2020-04 and ASU 2022-06, but does not believe there will be a material impact.
10. New Regulatory Pronouncement
In October 2022, the Securities and Exchange Commission (SEC) adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require that
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Fund for Income Series
10. New Regulatory Pronouncement (continued)
certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
11. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in the Series’ financial statements.
Other Series information (Unaudited)
Delaware VIP® Trust — Delaware VIP Fund for Income Series
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end funds (other than money market funds) to adopt and implement a program reasonably designed to assess and manage the fund’s “liquidity risk,” defined as the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund.
The Series has adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Series in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of the Series’ liquidity risk; (2) classification of each of the Series’ portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Series’ net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting the Series’ acquisition of Illiquid investments if, immediately after the acquisition, the Series would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if the Series’ holdings of Illiquid assets exceed 15% of the Series’ net assets. Series with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing the Series’ liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) the Series’ investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Series during both normal and reasonably foreseeable stressed conditions; and (3) the Series’ holdings of cash and cash equivalents and any borrowing arrangements. Classification of the Series’ portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. The Series primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 23-25, 2023, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2022 through March 31, 2023. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and the Series’ liquidity needs. The Series’ HLIM is set at an appropriate level and the Series complied with its HLIM at all times during the reporting period.
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. The Series’ Form N-PORT, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities, is available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-PORT are available without charge on the Series’ website at delawarefunds.com/vip/literature.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Series’ website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(3031246)
SA-VIPFFI-0823
Semiannual report
Delaware VIP® Trust
Delaware VIP Growth and Income Series
June 30, 2023
Table of contents
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 (“Macquarie Bank”), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Series is governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2023, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
The Series is distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
This material may be used in conjunction with the offering of shares in Delaware VIP® Growth and Income Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2023 Macquarie Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Disclosure of Series expenses
For the six-month period from January 1, 2023 to June 30, 2023 (Unaudited)
The investment objective of the Series is to seek long-term growth of capital and current income.
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2023 to June 30, 2023.
Actual expenses
The first section of the table shown, “Actual Series return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ expenses shown in the table assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
| | | Beginning
Account
Value
1/1/23 | | Ending
Account
Value
6/30/23 | | Annualized
Expense
Ratio | | Expenses
Paid
During
Period
1/1/23 to
6/30/23* |
| Actual Series return† | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,021.10 | | | 0.70% | | $ | 3.51 | |
| Hypothetical 5% return (5% return before expenses) | | | | | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,021.32 | | | 0.70% | | $ | 3.51 | |
| * | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| † | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Series’ expenses reflected above, the Series also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds) in which it invests. The table above does not reflect the expenses of any Underlying Funds.
Security type / sector allocations and top 10 equity holdings
| Delaware VIP® Trust — Delaware VIP Growth and Income Series | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund’s sector designations.
| Security type / sector | Percentage
of net assets |
| Common Stocks | | 99.55 | % |
| Communication Services | | 10.54 | % |
| Consumer Discretionary | | 10.26 | % |
| Consumer Staples | | 4.92 | % |
| Energy | | 13.28 | % |
| Financials | | 24.81 | % |
| Healthcare | | 19.12 | % |
| Industrials | | 3.72 | % |
| Information Technology | | 12.71 | % |
| Real Estate | | 0.19 | % |
| Short-Term Investments | | 0.32 | % |
| Total Value of Securities | | 99.87 | % |
| Receivables and Other Assets Net of Liabilities | | 0.13 | % |
| Total Net Assets | | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
| Top 10 equity holdings | Percentage
of net assets |
| Exxon Mobil | | 5.42 | % |
| Cisco Systems | | 4.30 | % |
| Merck & Co. | | 4.20 | % |
| Bristol-Myers Squibb | | 3.62 | % |
| TJX | | 3.56 | % |
| Meta Platforms Class A | | 3.51 | % |
| Gilead Sciences | | 3.44 | % |
| Philip Morris International | | 3.36 | % |
| ConocoPhillips | | 3.14 | % |
| Cigna Group | | 3.10 | % |
Schedule of investments
| Delaware VIP® Trust — Delaware VIP Growth and Income Series | June 30, 2023 (Unaudited) |
| | | Number of
shares | | Value (US $) |
| Common Stocks — 99.55% | | | | |
| Communication Services — 10.54% | | | | | | | | |
| Alphabet Class A † | | | 4,550 | | | $ | 544,635 | |
| AT&T | | | 557,812 | | | | 8,897,101 | |
| Comcast Class A | | | 387,191 | | | | 16,087,786 | |
| Meta Platforms Class A † | | | 69,860 | | | | 20,048,423 | |
| Verizon Communications | | | 395,245 | | | | 14,699,162 | |
| | | | | | | | 60,277,107 | |
| Consumer Discretionary — 10.26% | | | | | | | | |
| AutoZone † | | | 1,742 | | | | 4,343,433 | |
| Booking Holdings † | | | 782 | | | | 2,111,658 | |
| Chipotle Mexican Grill † | | | 1,009 | | | | 2,158,251 | |
| Ford Motor | | | 570,687 | | | | 8,634,494 | |
| Gap | | | 288,562 | | | | 2,576,859 | |
| Lowe’s | | | 32,038 | | | | 7,230,977 | |
| Macy’s | | | 448,800 | | | | 7,203,240 | |
| Tapestry | | | 94,858 | | | | 4,059,922 | |
| TJX | | | 239,878 | | | | 20,339,256 | |
| | | | | | | | 58,658,090 | |
| Consumer Staples — 4.92% | | | | | | | | |
| Altria Group | | | 197,392 | | | | 8,941,857 | |
| Philip Morris International | | | 196,882 | | | | 19,219,621 | |
| | | | | | | | 28,161,478 | |
| Energy — 13.28% | | | | | | | | |
| APA | | | 51,567 | | | | 1,762,044 | |
| ConocoPhillips | | | 173,565 | | | | 17,983,070 | |
| Exxon Mobil | | | 288,770 | | | | 30,970,583 | |
| Marathon Petroleum | | | 94,259 | | | | 10,990,599 | |
| Ovintiv | | | 23,637 | | | | 899,861 | |
| PDC Energy | | | 103,098 | | | | 7,334,392 | |
| Valero Energy | | | 51,004 | | | | 5,982,769 | |
| | | | | | | | 75,923,318 | |
| Financials — 24.81% | | | | | | | | |
| American Financial Group | | | 38,297 | | | | 4,547,769 | |
| American International Group | | | 118,443 | | | | 6,815,210 | |
| Bank of New York Mellon | | | 62,000 | | | | 2,760,240 | |
| Blackstone | | | 145,544 | | | | 13,531,226 | |
| Charles Schwab | | | 140,744 | | | | 7,977,370 | |
| Discover Financial Services | | | 26,612 | | | | 3,109,612 | |
| Evercore Class A | | | 54,849 | | | | 6,778,788 | |
| F&G Annuities & Life | | | 12,229 | | | | 303,035 | |
| Fidelity National Financial | | | 218,671 | | | | 7,872,156 | |
| KeyCorp | | | 161,896 | | | | 1,495,919 | |
| Lincoln National | | | 188,172 | | | | 4,847,311 | |
| Mastercard Class A | | | 5,790 | | | | 2,277,207 | |
| MetLife | | | 251,014 | | | | 14,189,821 | |
| Old Republic International | | | 289,781 | | | | 7,293,788 | |
| OneMain Holdings | | | 179,999 | | | | 7,864,156 | |
| PayPal Holdings † | | | 33,581 | | | | 2,240,860 | |
| PNC Financial Services Group | | | 74,691 | | | | 9,407,331 | |
| Rithm Capital | | | 617,071 | | | | 5,769,614 | |
| Synchrony Financial | | | 344,542 | | | | 11,686,865 | |
| Truist Financial | | | 302,044 | | | | 9,167,035 | |
| Unum Group | | | 99,470 | | | | 4,744,719 | |
| Western Union | | | 610,787 | | | | 7,164,532 | |
| | | | | | | | 141,844,564 | |
| Healthcare — 19.12% | | | | | | | | |
| Bristol-Myers Squibb | | | 323,776 | | | | 20,705,475 | |
| Cigna Group | | | 63,268 | | | | 17,753,001 | |
| CVS Health | | | 138,473 | | | | 9,572,638 | |
| Gilead Sciences | | | 255,437 | | | | 19,686,530 | |
| Johnson & Johnson | | | 78,441 | | | | 12,983,554 | |
| McKesson | | | 6,268 | | | | 2,678,379 | |
| Merck & Co. | | | 208,225 | | | | 24,027,083 | |
| Pfizer | | | 52,348 | | | | 1,920,125 | |
| | | | | | | | 109,326,785 | |
| Industrials — 3.72% | | | | | | | | |
| Emerson Electric | | | 84,504 | | | | 7,638,316 | |
| Honeywell International | | | 54,232 | | | | 11,253,140 | |
| Raytheon Technologies | | | 24,158 | | | | 2,366,518 | |
| | | | | | | | 21,257,974 | |
| Information Technology — 12.71% | | | | | | | | |
| Broadcom | | | 13,898 | | | | 12,055,542 | |
| Cisco Systems | | | 474,931 | | | | 24,572,930 | |
| Cognizant Technology Solutions Class A | | | 108,848 | | | | 7,105,597 | |
| HP | | | 195,070 | | | | 5,990,600 | |
| KLA | | | 4,054 | | | | 1,966,271 | |
| Microchip Technology | | | 40,547 | | | | 3,632,606 | |
| Motorola Solutions | | | 59,136 | | | | 17,343,406 | |
| | | | | | | | 72,666,952 | |
| Real Estate — 0.19% | | | | | | | | |
| Opendoor Technologies † | | | 270,499 | | | | 1,087,406 | |
| | | | | | | | 1,087,406 | |
Total Common Stocks
(cost $486,992,331) | | | | | | | 569,203,674 | |
| |
| Short-Term Investments — 0.32% | | | | | | | | |
| Money Market Mutual Funds — 0.32% | | | | | | | | |
| BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | | | 458,565 | | | | 458,565 | |
| Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | | | 458,567 | | | | 458,567 | |
Schedule of investments
Delaware VIP® Trust — Delaware VIP Growth and Income Series
| | | Number of
shares | | Value (US $) |
| Short-Term Investments (continued) | | | | |
| Money Market Mutual Funds (continued) | | | | | | | | |
| Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | | | 458,567 | | | $ | 458,567 | |
| Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | | | 458,567 | | | | 458,567 | |
Total Short-Term Investments
(cost $1,834,266) | | | | | | | 1,834,266 | |
Total Value of Securities—99.87%
(cost $488,826,597) | | | | | | $ | 571,037,940 | |
| † | Non-income producing security. |
See accompanying notes, which are an integral part of the financial statements.
Statement of assets and liabilities
| Delaware VIP® Trust — Delaware VIP Growth and Income Series | June 30, 2023 (Unaudited) |
| Assets: | | |
| Investments, at value* | | $ | 571,037,940 | |
| Dividends receivable | | | 1,043,236 | |
| Other assets | | | 4,339 | |
| Total Assets | | | 572,085,515 | |
| Liabilities: | | | | |
| Investment management fees payable to affiliates | | | 181,273 | |
| Other accrued expenses | | | 55,182 | |
| Payable for series shares redeemed | | | 35,221 | |
| Administration expenses payable to affiliates | | | 17,323 | |
| Total Liabilities | | | 288,999 | |
| Total Net Assets | | $ | 571,796,516 | |
| |
| Net Assets Consist of: | | | | |
| Paid-in capital | | $ | 473,304,616 | |
| Total distributable earnings (loss) | | | 98,491,900 | |
| Total Net Assets | | $ | 571,796,516 | |
| |
| Net Asset Value | | | | |
| Standard Class: | | | | |
| Net assets | | $ | 571,796,516 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 19,584,510 | |
| Net asset value per share | | $ | 29.20 | |
|
| *Investments, at cost | | $ | 488,826,597 | |
See accompanying notes, which are an integral part of the financial statements.
Statement of operations
| Delaware VIP® Trust — Delaware VIP Growth and Income Series | Six months ended June 30, 2023 (Unaudited) |
| Investment Income: | | |
| Dividends | | $ | 8,746,891 | |
| |
| Expenses: | | | | |
| Management fees | | | 1,609,765 | |
| Accounting and administration expenses | | | 54,876 | |
| Dividend disbursing and transfer agent fees and expenses | | | 21,684 | |
| Legal fees | | | 17,932 | |
| Audit and tax fees | | | 15,045 | |
| Reports and statements to shareholders expenses | | | 9,529 | |
| Custodian fees | | | 7,624 | |
| Trustees’ fees and expenses | | | 6,239 | |
| Other | | | 3,852 | |
| Total operating expenses | | | 1,746,546 | |
| Net Investment Income (Loss) | | | 7,000,345 | |
| |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on investments | | | 9,873,631 | |
| Net change in unrealized appreciation (depreciation) on investments | | | (3,559,850 | ) |
| Net Realized and Unrealized Gain (Loss) | | | 6,313,781 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 13,314,126 | |
See accompanying notes, which are an integral part of the financial statements.
Statements of changes in net assets
Delaware VIP® Trust — Delaware VIP Growth and Income Series
| | | | Six months
ended
6/30/23
(Unaudited) | | | | Year ended
12/31/22 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 7,000,345 | | | $ | 12,538,752 | |
| Net realized gain (loss) | | | 9,873,631 | | | | 22,099,160 | |
| Net change in unrealized appreciation (depreciation) | | | (3,559,850 | ) | | | (18,547,041 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 13,314,126 | | | | 16,090,871 | |
| |
| Dividends and Distributions to Shareholders from: | | | | | | | | |
| Distributable earnings: | | | | | | | | |
| Standard Class | | | (34,347,073 | ) | | | (59,105,904 | ) |
| |
| Capital Share Transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Standard Class | | | 2,913,317 | | | | 441,880 | |
| |
| Net assets from merger:1 | | | | | | | | |
| Standard Class | | | 96,486,816 | | | | — | |
| |
| Net asset value of shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 34,347,073 | | | | 59,105,904 | |
| | | | 133,747,206 | | | | 59,547,784 | |
| Cost of shares redeemed: | | | | | | | | |
| Standard Class | | | (24,924,967 | ) | | | (48,775,720 | ) |
| Increase in net assets derived from capital share transactions | | | 108,822,239 | | | | 10,772,064 | |
| Net Increase (Decrease) in Net Assets | | | 87,789,292 | | | | (32,242,969 | ) |
| |
| Net Assets: | | | | | | | | |
| Beginning of period | | | 484,007,224 | | | | 516,250,193 | |
| End of period | | $ | 571,796,516 | | | $ | 484,007,224 | |
| 1 | See Note 5 in “Notes to financial statements.” |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Delaware VIP® Growth and Income Series Standard Class
Selected data for each share of the Series outstanding throughout each period were as follows:
| | | Six months
ended
6/30/231 | | | Year ended |
| | | (Unaudited) | | | 12/31/22 | | | 12/31/21 | | | 12/31/20 | | | 12/31/192 | | | 12/31/18 | |
| Net asset value, beginning of period | | $ | 30.89 | | | $ | 33.80 | | | $ | 28.17 | | | $ | 43.10 | | | $ | 41.84 | | | $ | 49.45 | |
| |
| Income (loss) from investment operations: |
| Net investment income3 | | | 0.41 | | | | 0.79 | | | | 0.70 | | | | 0.59 | | | | 0.71 | | | | 0.72 | |
| Net realized and unrealized gain (loss) | | | 0.14 | | | | 0.30 | | | | 5.49 | | | | (3.82 | ) | | | 8.82 | | | | (5.48 | ) |
| Total from investment operations | | | 0.55 | | | | 1.09 | | | | 6.19 | | | | (3.23 | ) | | | 9.53 | | | | (4.76 | ) |
| |
| Less dividends and distributions from: |
| Net investment income | | | (0.82 | ) | | | (0.75 | ) | | | (0.56 | ) | | | (0.75 | ) | | | (0.74 | ) | | | (0.68 | ) |
| Net realized gain | | | (1.42 | ) | | | (3.25 | ) | | | — | | | | (10.95 | ) | | | (7.53 | ) | | | (2.17 | ) |
| Total dividends and distributions | | | (2.24 | ) | | | (4.00 | ) | | | (0.56 | ) | | | (11.70 | ) | | | (8.27 | ) | | | (2.85 | ) |
| |
| Net asset value, end of period | | $ | 29.20 | | | $ | 30.89 | | | $ | 33.80 | | | $ | 28.17 | | | $ | 43.10 | | | $ | 41.84 | |
| |
| Total return4 | | | 2.11 | % | | | 3.53 | % | | | 22.20 | %5 | | | (0.46 | )% | | | 25.60 | % | | | (10.17 | )% |
| |
| Ratios and supplemental data: |
| Net assets, end of period (000 omitted) | | $ | 571,797 | | | $ | 484,007 | | | $ | 516,250 | | | $ | 467,166 | | | $ | 518,042 | | | $ | 448,975 | |
| Ratio of expenses to average net assets6 | | | 0.70 | % | | | 0.71 | % | | | 0.70 | % | | | 0.74 | % | | | 0.76 | % | | | 0.77 | % |
| Ratio of expenses to average net assets prior to fees waived6 | | | 0.70 | % | | | 0.71 | % | | | 0.70 | % | | | 0.74 | % | | | 0.76 | % | | | 0.77 | % |
| Ratio of net investment income to average net assets | | | 2.82 | % | | | 2.58 | % | | | 2.22 | % | | | 2.09 | % | | | 1.75 | % | | | 1.54 | % |
| Ratio of net investment income to average net assets prior to fees waived | | | 2.82 | % | | | 2.58 | % | | | 2.22 | % | | | 2.09 | % | | | 1.75 | % | | | 1.54 | % |
| Portfolio turnover | | | 18 | % | | | 22 | % | | | 49 | % | | | 30 | % | | | 122 | %7 | | | 58 | % |
| 1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2 | On October 4, 2019, the First Investors Life Series Growth & Income Fund shares were reorganized into Standard Class shares of the Series. The Standard Class shares financial highlights for the period prior to October 4, 2019, reflect the performance of the First Investors Life Series Growth & Income Fund shares. |
| 3 | Calculated using average shares outstanding. |
| 4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 5 | Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
| 6 | Expense ratios do not include expenses of any investment companies in which the Series invests. |
| 7 | The Series’ portfolio turnover rate increased substantially during the year ended December 31, 2019 due to a change in the Series’ portfolio managers and associated repositioning. |
See accompanying notes, which are an integral part of the financial statements.
Notes to financial statements
| Delaware VIP® Trust — Delaware VIP Growth and Income Series | June 30, 2023 (Unaudited) |
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust. The Trust consists of 10 series, each of which is treated as a separate entity for certain matters under the Investment Company Act of 1940, as amended (1940 Act). These financial statements and the related notes pertain to Delaware VIP Growth and Income Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the 1940 Act and offers Standard Class shares. The Standard Class shares do not carry a distribution and service (12b-1) fee. The shares of the Series are sold only to separate accounts of life insurance companies.
1. Significant Accounting Policies
The Series follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Series.
Security Valuation — Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and the ask prices will be used, which approximates fair value. Open-end investment companies, other than ETFs, are valued at their published net asset value (NAV). Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by the Series’ valuation designee, Delaware Management Company (DMC). Subject to the oversight of the Trust’s Board of Trustees (Board), DMC, as valuation designee, has adopted policies and procedures to fair value securities for which market quotations are not readily available consistent with the requirements of Rule 2a-5 under the 1940 Act. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Restricted securities and private placements are valued at fair value.
Federal Income Taxes — No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken or expected to be taken on the Series’ federal income tax returns through the six months ended June 30, 2023, and for all open tax years (years ended December 31, 2019–December 31, 2022), and has concluded that no provision for federal income tax is required in the Series’ financial statements. If applicable, the Series recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statement of operations.” During the six months ended June 30, 2023, the Series did not incur any interest or tax penalties.
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Income and capital gain distributions from any Underlying Funds in which the Series invests are recorded on the ex-dividend date. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, at least annually. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expenses paid under this arrangement are included on the “Statement of operations”
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Growth and Income Series
1. Significant Accounting Policies (continued)
under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.” For the six months ended June 30, 2023, the Series earned less than $1 under this arrangement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays DMC, a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly at the rates of 0.65% on the first $500 million of average daily net assets of the Series, 0.60% on the next $500 million, 0.55% on the next $1.5 billion, and 0.50% on average daily net assets in excess of $2.5 billion.
DMC has contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding any acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations), in order to prevent total annual series operating expenses from exceeding 0.72% of the Series’ average daily net assets from January 1, 2023 through June 30, 2023.* These waivers and reimbursements may only be terminated by agreement of DMC and the Series. The waivers and reimbursements are accrued daily and received monthly.
Macquarie Investment Management Global Limited (MIMGL), an affiliate of DMC, serves as the Series’ sub-advisor and manages the Series’ assets. In addition, MIMGL, (the “Affiliated Sub-Advisor”), an affiliate of the Manager, may execute security trades for the Series. Although the Affiliated Sub-Advisor serve as sub-advisor, DMC has ultimate responsibility for all investment advisory services. For these services, DMC, not the Series, may pay the Affiliated Sub-Advisor a portion of its investment management fee.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; 0.0025% of the next $45 billion; and 0.0015% of aggregate average daily net assets in excess of $90 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the six months ended June 30, 2023, the Series paid $9,765 for these services.
DIFSC is also the transfer agent and dividend disbursing agent of the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Series’ average daily net assets. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended June 30, 2023, the Series paid $20,209 for these services. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are paid by the Series and are also included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees that are calculated daily and paid as invoices are received on a monthly or quarterly basis.
As provided in the investment management agreement, the Series bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to the Series. For the six months ended June 30, 2023, the Series paid $6,476 for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and Delaware Distributors, L.P. are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
In addition to the management fees and other expenses of the Series, the Series indirectly bears the investment management fees and other expenses of any Underlying Funds, including ETFs in which it invests. The amount of these fees and expenses incurred indirectly by the Series will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
*The aggregate contractual waiver period covering this report is from April 29, 2022 through April 30, 2024.
3. Investments
For the six months ended June 30, 2023, the Series made purchases and sales of investment securities other than short-term investments as follows:
| Purchases | | $ | 92,406,366 | |
| Sales | | | 107,972,138 | |
At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for the Series were as follows:
| Cost of investments | | $ | 488,826,597 | |
| Aggregate unrealized appreciation of investments | | $ | 108,005,633 | |
| Aggregate unrealized depreciation of investments | | | (25,794,290 | ) |
| Net unrealized appreciation of investments | | $ | 82,211,343 | |
US GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
| Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
| | |
| Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
| | |
| Level 3 – | Significant unobservable inputs, including the Series’ own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Growth and Income Series
3. Investments (continued)
comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2023:
| | | Level 1 | |
| Securities | | |
| Assets: | | |
| Common Stocks | | $ | 569,203,674 | |
| Short-Term Investments | | | 1,834,266 | |
| Total Value of Securities | | $ | 571,037,940 | |
During the six months ended June 30, 2023, there were no transfers into or out of Level 3 investments. The Series’ policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning or end of the period in relation to the Series’ net assets. During the six months ended June 30, 2023, there were no Level 3 investments.
4. Capital Shares
Transactions in capital shares were as follows:
| | | | Six months
ended
6/30/23 | | | | Year ended
12/31/22 | |
| Shares sold: | | | | | | | | |
| Standard Class | | | 100,288 | | | | 14,761 | |
| |
| Shares from merger:1 | | | | | | | | |
| Standard Class | | | 3,437,362 | | | | — | |
| Shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 1,230,637 | | | | 1,959,745 | |
| | | | 4,768,287 | | | | 1,974,506 | |
| Shares redeemed: | | | | | | | | |
| Standard Class | | | (853,446 | ) | | | (1,578,110 | ) |
| Net increase | | | 3,914,841 | | | | 396,396 | |
| 1 | See Note 5 in “Notes to financial statements.” |
5. Reorganization
On November 10, 2022, the Board approved a proposal to reorganize (the “Reorganization”) Delaware VIP Equity Income Series, a series of Delaware VIP Trust (the “Acquired Series”), with and into Delaware VIP Growth and Income Series (the “Acquiring Series”). Pursuant to an Agreement and Plan of Reorganization (the “Plan”): (i) all of the property, assets, and goodwill of the Acquired Series were acquired by the Acquiring Series and (ii) the Trust, on behalf of the Acquiring Series, assumed the liabilities of the Acquired Series, in exchange for shares of the Acquiring Series. In accordance with the Plan, the Acquired Series liquidated and dissolved following the Reorganization. In approving the Reorganization, the Board considered various factors, including that the Acquiring Series and the Acquired Series share similar investment objectives, principal investment strategies and principal risks, and materially identical fundamental investment restrictions and that the Acquiring
Series’ overall total expense ratio is expected to be lower than the corresponding Acquired Series’ total expense ratio following the Reorganization taking into account applicable expense limitation arrangements. The Reorganization was accomplished by a tax-free exchange of shares on April 28, 2023. For financial reporting purposes, assets received and shares issued by the Acquiring Series were recorded at fair value; however, the cost basis of the investments received from the Acquired Series was carried forward to align ongoing reporting of the Acquiring Series’ realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The share transactions associated with April 28, 2023 for the Reorganization were as follows:
| | | | Acquired
Series
Net Assets | | | Acquired
Series Shares
Outstanding | | | Shares
Converted
to Acquiring
Series | | | Acquiring
Series
Net Assets | | Conversion
Ratio | |
| | | | Delaware VIP Equity Income Series | | | Delaware VIP Growth & Income Series | | | |
| Standard Class | | $ | 96,486,816 | | | 6,477,316 | | $ | 3,437,362 | | $ | 464,768,916 | | 0.5307 | |
The net assets of the Acquired Series before the Reorganization were $96,486,816. The net assets of the Acquiring Series immediately following the Reorganization were $561,255,732.
Assuming the Reorganization had been completed on January 1, 2023, the Acquiring Series’ pro forma results of operations for the six months ended June 30, 2023, would have been as follows:
| | | | Acquiring Fund | |
| Net investment income | | $ | 7,980,857 | |
| Net realized gain on investments | | | 12,821,596 | |
| Net change in unrealized appreciation (depreciation) | | | (9,477,209 | ) |
| Net increase in net assets resulting from operations | | $ | 11,325,244 | |
Because the combined investment portfolios have been managed as a single integrated portfolio since the acquisition was completed, it is not practical to separate the amounts of revenue and earnings of the Acquired Series that have been included in the Acquiring Series’ Statement of Operations since the Reorganization was consummated on April 28, 2023.
6. Line of Credit
The Series, along with certain other funds in the Delaware Funds (Participants), is a participant in a $355,000,000 revolving line of credit (Agreement) intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the Agreement, the Participants are charged an annual commitment fee of 0.15%, which is allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants are permitted to borrow up to a maximum of one-third of their net assets under the Agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the Agreement expires on October 30, 2023.
The Series had no amounts outstanding as of June 30, 2023, or at any time during the period then ended.
7. Securities Lending
The Series, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Growth and Income Series
7. Securities Lending (continued)
security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by the Series is generally invested in an individual separate account. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. The Series can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Series may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of the Series’ cash collateral account may be less than the amount the Series would be required to return to the borrowers of the securities and the Series would be required to make up for this shortfall.
At June 30, 2023, the Series had no securities out on loan.
8. Credit and Market Risk
The global outbreak of COVID-19 resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the outbreak, its full economic impact, and ongoing effects at the macro-level and on individual businesses are unpredictable and may result in significant and prolonged effects on a Series’ performance.
Investments in equity securities in general are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Series invests will cause the NAV of the Series to fluctuate.
The Series invests in growth stocks, which reflect projections of future earnings and revenue. These prices may rise or fall dramatically depending on whether those projections are met. These companies’ stock prices may be more volatile, particularly over the short term.
The Series invests in REITs and is subject to the risks associated with that industry. If the Series holds real estate directly or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. There were no direct real estate holdings during the six months ended June 30, 2023. The Series’ REIT holdings are also affected by interest rate changes, particularly if the REITs it holds use floating rate debt to finance their ongoing operations.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. As of June 30, 2023, there were no Rule 144A securities held by the Series.
9. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
10. New Regulatory Pronouncement
In October 2022, the Securities and Exchange Commission (SEC) adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
11. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in the Series’ financial statements.
Other Series information (Unaudited)
Delaware VIP® Trust — Delaware VIP Growth and Income Series
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end funds (other than money market funds) to adopt and implement a program reasonably designed to assess and manage the fund’s “liquidity risk,” defined as the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund.
The Series has adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Series in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of the Series’ liquidity risk; (2) classification of each of the Series’ portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Series’ net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting the Series’ acquisition of Illiquid investments if, immediately after the acquisition, the Series would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if the Series’ holdings of Illiquid assets exceed 15% of the Series’ net assets. Series with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing the Series’ liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) the Series’ investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Series during both normal and reasonably foreseeable stressed conditions; and (3) the Series’ holdings of cash and cash equivalents and any borrowing arrangements. Classification of the Series’ portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. The Series primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 23-25, 2023, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2022 through March 31, 2023. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and the Series’ liquidity needs. The Series’ HLIM is set at an appropriate level and the Series complied with its HLIM at all times during the reporting period.
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. The Series’ Form N-PORT, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities, is available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-PORT are available without charge on the Series’ website at delawarefunds.com/vip/literature.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Series’ website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(3031246)
SA-VIPGI-0823
Semiannual report
Delaware VIP® Trust
Delaware VIP Growth Equity Series
June 30, 2023
Table of contents
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 (“Macquarie Bank”), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Series is governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2023, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
The Series is distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
This material may be used in conjunction with the offering of shares in Delaware VIP® Growth Equity Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2023 Macquarie Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Disclosure of Series expenses
For the six-month period from January 1, 2023 to June 30, 2023 (Unaudited)
The investment objective of the Series is to seek long-term growth of capital.
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2023 to June 30, 2023.
Actual expenses
The first section of the table shown, “Actual Series return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ expenses shown in the table reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
| | | Beginning
Account
Value
1/1/23 | | Ending
Account
Value
6/30/23 | | Annualized
Expense
Ratio | | Expenses
Paid
During
Period
1/1/23 to
6/30/23* |
| Actual Series return† | | | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,274.30 | | | 0.80% | | $ | 4.51 | |
| Hypothetical 5% return (5% return before expenses) |
| Standard Class | | $ | 1,000.00 | | | $ | 1,020.83 | | | 0.80% | | $ | 4.01 | |
| * | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| † | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Series’ expenses reflected above, the Series also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds) in which it invests. The table above does not reflect the expenses of any Underlying Funds.
Security type / sector allocations and top 10 equity holdings
| Delaware VIP® Trust — Delaware VIP Growth Equity Series | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund’s sector designations.
| Security type / sector | Percentage
of net assets |
| Common Stocks | | 99.62 | % |
| Communication Services | | 8.33 | % |
| Consumer Discretionary | | 12.38 | % |
| Consumer Staples | | 2.70 | % |
| Financials | | 11.26 | % |
| Healthcare | | 12.31 | % |
| Industrials | | 8.53 | % |
| Information Technology* | | 40.17 | % |
| Real Estate | | 3.94 | % |
| Short-Term Investments | | 0.67 | % |
| Total Value of Securities | | 100.29 | % |
| Liabilities Net of Receivables and Other Assets | | (0.29 | )% |
| Total Net Assets | | 100.00 | % |
| | |
| * | To monitor compliance with the Series’ concentration guidelines as described in the Series’ Prospectus and Statement of Additional Information, the Information Technology sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Information Technology sector consisted of Computers, Internet, Semiconductors, Software, and Telecommunications. As of June 30, 2023, such amounts, as a percentage of total net assets were 7.78%, 4.31%, 4.88%, 19.62%, and 3.58%, respectively. The percentage in any such single industry will comply with the Series’ concentration policy even if the percentage in the Information Technology sector for financial reporting purposes may exceed 25%. |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
| Top 10 equity holdings | Percentage
of net assets |
| Microsoft | | 12.08 | % |
| Apple | | 7.79 | % |
| Alphabet Class A | | 5.14 | % |
| Visa Class A | | 4.95 | % |
| NVIDIA | | 4.88 | % |
| Amazon.com | | 4.87 | % |
| VeriSign | | 4.31 | % |
| CoStar Group | | 3.94 | % |
| UnitedHealth Group | | 3.85 | % |
| Motorola Solutions | | 3.59 | % |
Schedule of investments
| Delaware VIP® Trust — Delaware VIP Growth Equity Series | June 30, 2023 (Unaudited) |
| | | Number of
shares | | Value (US $) |
| Common Stocks — 99.62% ◆ | | | | | | | | |
| Communication Services — 8.33% | | | | | | | | |
| Alphabet Class A † | | | 48,269 | | | $ | 5,777,799 | |
| Alphabet Class C † | | | 7,727 | | | | 934,735 | |
| Electronic Arts | | | 20,441 | | | | 2,651,198 | |
| | | | | | | | 9,363,732 | |
| Consumer Discretionary — 12.38% | | | | | | | | |
| Amazon.com † | | | 42,021 | | | | 5,477,857 | |
| Booking Holdings † | | | 537 | | | | 1,450,077 | |
| Ferrari | | | 7,875 | | | | 2,561,029 | |
| Home Depot | | | 2,578 | | | | 800,830 | |
| LVMH Moet Hennessy Louis Vuitton ADR | | | 10,426 | | | | 1,968,846 | |
| NIKE Class B | | | 14,932 | | | | 1,648,045 | |
| | | | | | | | 13,906,684 | |
| Consumer Staples — 2.70% | | | | | | | | |
| Coca-Cola | | | 50,384 | | | | 3,034,124 | |
| | | | | | | | 3,034,124 | |
| Financials — 11.26% | | | | | | | | |
| Intercontinental Exchange | | | 26,297 | | | | 2,973,665 | |
| Mastercard Class A | | | 2,608 | | | | 1,025,726 | |
| S&P Global | | | 7,703 | | | | 3,088,056 | |
| Visa Class A | | | 23,433 | | | | 5,564,869 | |
| | | | | | | | 12,652,316 | |
| Healthcare — 12.31% | | | | | | | | |
| Cooper | | | 5,404 | | | | 2,072,056 | |
| Danaher | | | 13,098 | | | | 3,143,520 | |
| Intuitive Surgical † | | | 5,481 | | | | 1,874,173 | |
| UnitedHealth Group | | | 9,007 | | | | 4,329,124 | |
| Veeva Systems Class A † | | | 6,361 | | | | 1,257,761 | |
| Zoetis | | | 6,713 | | | | 1,156,046 | |
| | | | | | | | 13,832,680 | |
| Industrials — 8.53% | | | | | | | | |
| Broadridge Financial Solutions | | | 11,147 | | | | 1,846,278 | |
| Equifax | | | 10,046 | | | | 2,363,824 | |
| JB Hunt Transport Services | | | 10,171 | | | | 1,841,256 | |
| TransUnion | | | 14,092 | | | | 1,103,826 | |
| Union Pacific | | | 2,356 | | | | 482,085 | |
| Verisk Analytics | | | 4,498 | | | | 1,016,683 | |
| Waste Connections | | | 6,510 | | | | 930,474 | |
| | | | | | | | 9,584,426 | |
| Information Technology — 40.17% | | | | | | | | |
| Adobe † | | | 4,268 | | | | 2,087,009 | |
| Apple | | | 45,107 | | | | 8,749,405 | |
| Autodesk † | | | 6,981 | | | | 1,428,383 | |
| Intuit | | | 6,537 | | | | 2,995,188 | |
| Microsoft | | | 39,861 | | | | 13,574,265 | |
| Motorola Solutions | | | 13,737 | | | | 4,028,787 | |
| NVIDIA | | | 12,954 | | | | 5,479,801 | |
| Salesforce † | | | 9,282 | | | | 1,960,915 | |
| VeriSign † | | | 21,427 | | | | 4,841,859 | |
| | | | | | | | 45,145,612 | |
| Real Estate — 3.94% | | | | | | | | |
| CoStar Group † | | | 49,769 | | | | 4,429,441 | |
| | | | | | | | 4,429,441 | |
Total Common Stocks
(cost $90,660,098) | | | | | | | 111,949,015 | |
| | | | | | | | | |
| Short-Term Investments — 0.67% | | | | | | | | |
| Money Market Mutual Funds — 0.67% | | | | | | | | |
| BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99)% | | | 187,394 | | | | 187,394 | |
| Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99)% | | | 187,394 | | | | 187,394 | |
| Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14)% | | | 187,394 | | | | 187,394 | |
| Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03)% | | | 187,393 | | | | 187,393 | |
Total Short-Term Investments
(cost $749,575) | | | | | | | 749,575 | |
Total Value of Securities—100.29%
(cost $91,409,673) | | | | | | $ | 112,698,590 | |
| ◆ | Narrow industries are utilized for compliance purposes for concentration whereas broad sectors are used for financial reporting. |
| † | Non-income producing security. |
Summary of abbreviations:
ADR – American Depositary Receipt
S&P – Standard & Poor’s Financial Services LLC
See accompanying notes, which are an integral part of the financial statements.
Statement of assets and liabilities
| Delaware VIP® Trust — Delaware VIP Growth Equity Series | June 30, 2023 (Unaudited) |
| Assets: | | | |
| Investments, at value* | | $ | 112,698,590 | |
| Dividends receivable | | | 57,963 | |
| Prepaid expenses | | | 26 | |
| Other assets | | | 902 | |
| Total Assets | | | 112,757,481 | |
| Liabilities: | | | | |
| Payable for securities purchased | | | 178,360 | |
| Other accrued expenses | | | 83,623 | |
| Investment management fees payable to affiliates | | | 58,705 | |
| Payable for series shares redeemed | | | 53,215 | |
| Administration expenses payable to affiliates | | | 9,803 | |
| Total Liabilities | | | 383,706 | |
| Total Net Assets | | $ | 112,373,775 | |
| | | | | |
| Net Assets Consist of: | | | | |
| Paid-in capital | | $ | 87,036,119 | |
| Total distributable earnings (loss) | | | 25,337,656 | |
| Total Net Assets | | $ | 112,373,775 | |
| | | | | |
| Net Asset Value | | | | |
| Standard Class: | | | | |
| Net assets | | $ | 112,373,775 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 7,502,470 | |
| Net asset value per share | | $ | 14.98 | |
| | | | |
| *Investments, at cost | | $ | 91,409,673 | |
See accompanying notes, which are an integral part of the financial statements.
Statement of operations
| Delaware VIP® Trust — Delaware VIP Growth Equity Series | Six months ended June 30, 2023 (Unaudited) |
| Investment Income: | | | | |
| Dividends | | $ | 392,306 | |
| Foreign tax withheld | | | (7,233 | ) |
| | | | 385,073 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 323,727 | |
| Accounting and administration expenses | | | 25,311 | |
| Dividend disbursing and transfer agent fees and expenses | | | 16,552 | |
| Audit and tax fees | | | 15,088 | |
| Legal fees | | | 10,161 | |
| Reports and statements to shareholders expenses | | | 9,687 | |
| Trustees’ fees and expenses | | | 3,090 | |
| Custodian fees | | | 1,683 | |
| Other | | | 1,809 | |
| | | | 407,108 | |
| Less expenses waived | | | (8,561 | ) |
| Total operating expenses | | | 398,547 | |
| Net Investment Income (Loss) | | | (13,474 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on investments | | | 4,190,012 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 20,397,362 | |
| Net Realized and Unrealized Gain (Loss) | | | 24,587,374 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 24,573,900 | |
See accompanying notes, which are an integral part of the financial statements.
Statements of changes in net assets
Delaware VIP® Trust — Delaware VIP Growth Equity Series
| | | Six months
ended
6/30/23
(Unaudited) | | | Year ended
12/31/22 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
| Net investment income (loss) | | $ | (13,474 | ) | | $ | 103,548 | |
| Net realized gain (loss) | | | 4,190,012 | | | | 25,798,369 | |
| Net change in unrealized appreciation (depreciation) | | | 20,397,362 | | | | (60,157,570 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 24,573,900 | | | | (34,255,653 | ) |
| | | | | | | | | |
| Dividends and Distributions to Shareholders from: | | | | | | | | |
| Distributable earnings: | | | | | | | | |
| Standard Class | | | (26,027,661 | ) | | | (20,195,621 | ) |
| | | | | | | | | |
| Capital Share Transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Standard Class | | | 5,512,849 | | | | 3,379,444 | |
| | | | | | | | | |
| Net asset value of shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 26,027,661 | | | | 20,195,621 | |
| | | | 31,540,510 | | | | 23,575,065 | |
| Cost of shares redeemed: | | | | | | | | |
| Standard Class | | | (7,447,679 | ) | | | (11,249,076 | ) |
| Increase in net assets derived from capital share transactions | | | 24,092,831 | | | | 12,325,989 | |
| Net Increase (Decrease) in Net Assets | | | 22,639,070 | | | | (42,125,285 | ) |
| | | | | | | | | |
| Net Assets: | | | | | | | | |
| Beginning of period | | | 89,734,705 | | | | 131,859,990 | |
| End of period | | $ | 112,373,775 | | | $ | 89,734,705 | |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Delaware VIP® Growth Equity Series Standard Class
Selected data for each share of the Series outstanding throughout each period were as follows:
| | | Six months
ended
6/30/231 | | | Year ended |
| | | (Unaudited) | | | 12/31/22 | | | 12/31/21 | | | 12/31/20 | | | 12/31/192 | | | 12/31/18 | |
| Net asset value, beginning of period | | $ | 15.69 | | | $ | 26.34 | | | $ | 19.79 | | | $ | 16.53 | | | $ | 14.14 | | | $ | 15.87 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)3 | | | — | 4 | | | 0.02 | | | | (0.01 | ) | | | 0.01 | | | | 0.07 | | | | 0.05 | |
| Net realized and unrealized gain (loss) | | | 3.81 | | | | (6.55 | ) | | | 7.56 | | | | 4.39 | | | | 3.28 | | | | (0.57 | ) |
| Total from investment operations | | | 3.81 | | | | (6.53 | ) | | | 7.55 | | | | 4.40 | | | | 3.35 | | | | (0.52 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.02 | ) | | | — | | | | (0.01 | ) | | | (0.07 | ) | | | (0.05 | ) | | | (0.06 | ) |
| Net realized gain | | | (4.50 | ) | | | (4.12 | ) | | | (0.99 | ) | | | (1.07 | ) | | | (0.91 | ) | | | (1.15 | ) |
| Total dividends and distributions | | | (4.52 | ) | | | (4.12 | ) | | | (1.00 | ) | | | (1.14 | ) | | | (0.96 | ) | | | (1.21 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 14.98 | | | $ | 15.69 | | | $ | 26.34 | | | $ | 19.79 | | | $ | 16.53 | | | $ | 14.14 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total return5 | | | 27.43 | %6 | | | (26.60 | )%6 | | | 39.23 | % | | | 29.50 | %6 | | | 24.35 | %6 | | | (3.79 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | | $ | 112,374 | | | $ | 89,735 | | | $ | 131,860 | | | $ | 106,325 | | | $ | 91,962 | | | $ | 73,629 | |
| Ratio of expenses to average net assets | | | 0.80 | % | | | 0.79 | % | | | 0.75 | % | | | 0.80 | % | | | 0.82 | % | | | 0.81 | % |
| Ratio of expenses to average net assets prior to fees waived | | | 0.82 | % | | | 0.80 | % | | | 0.75 | % | | | 0.83 | % | | | 0.84 | % | | | 0.81 | % |
| Ratio of net investment income (loss) to average net assets | | | (0.03 | )% | | | 0.10 | % | | | (0.03 | )% | | | 0.04 | % | | | 0.43 | % | | | 0.34 | % |
| Ratio of net investment income (loss) to average net assets prior to fees waived | | | (0.05 | )% | | | 0.09 | % | | | (0.03 | )% | | | 0.01 | % | | | 0.41 | % | | | 0.34 | % |
| Portfolio turnover | | | 15 | % | | | 105 | % | | | 31 | % | | | 37 | % | | | 45 | % | | | 31 | % |
| | |
| 1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2 | On October 4, 2019, the First Investors Life Series Select Growth Fund shares were reorganized into Standard Class shares of the Series. The Standard Class shares financial highlights for the period prior to October 4, 2019, reflect the performance of the First Investors Life Series Select Growth Fund shares. |
| 3 | Calculated using average shares outstanding. |
| 4 | Amount is less than $0.005 per share. |
| 5 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 6 | Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
See accompanying notes, which are an integral part of the financial statements.
Notes to financial statements
| Delaware VIP® Trust — Delaware VIP Growth Equity Series | June 30, 2023 (Unaudited) |
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust. The Trust consists of 10 series, each of which is treated as a separate entity for certain matters under the Investment Company Act of 1940, as amended (1940 Act). These financial statements and the related notes pertain to Delaware VIP Growth Equity Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the 1940 Act and offers Standard Class shares. The Standard Class shares do not carry a distribution and service (12b-1) fee. The shares of the Series are sold only to separate accounts of life insurance companies.
1. Significant Accounting Policies
The Series follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Series.
Security Valuation — Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and the ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. Open-end investment companies, other than ETFs, are valued at their published net asset value (NAV). Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by the Series’ valuation designee, Delaware Management Company (DMC). Subject to the oversight of the Trust’s Board of Trustees (Board), DMC, as valuation designee, has adopted policies and procedures to fair value securities for which market quotations are not readily available consistent with the requirements of Rule 2a-5 under the 1940 Act. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Restricted securities and private placements are valued at fair value.
Federal Income Taxes — No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken or expected to be taken on the Series’ federal income tax returns through the six months ended June 30, 2023, and for all open tax years (years ended December 31, 2019–December 31, 2022), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regard to foreign taxes only, the Series has open tax years in certain foreign countries in which it invests that may date back to the inception of the Series. If applicable, the Series recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statement of operations.” During the six months ended June 30, 2023, the Series did not incur any interest or tax penalties.
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Income and capital gain distributions from any Underlying Funds in which the Series invests are recorded on the ex-dividend date. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, at least annually. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expenses paid under this arrangement are included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.” For the six months ended June 30, 2023, the Series earned less than $1 under this arrangement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays DMC, a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly at the rates of 0.65% on the first $500 million of average daily net assets of the Series, 0.60% on the next $500 million, 0.55% on the next $1.5 billion, and 0.50% on average daily net assets in excess of $2.5 billion.
DMC has contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding any acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations), in order to prevent total annual series operating expenses from exceeding 0.80% of the Series’ average daily net assets from January 1, 2023 through June 30, 2023.* These waivers and reimbursements may only be terminated by agreement of DMC and the Series. The waivers and reimbursements are accrued daily and received monthly.
DMC may permit its affiliate, Macquarie Investment Management Global Limited (MIMGL), to execute Series security trades on behalf of DMC. DMC may also seek quantitative support from MIMGL. Although MIMGL serves as sub-advisor, DMC has ultimate responsibility for all investment advisory services. For these services, DMC, not the Series, may pay MIMGL a portion of its investment management fee.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; 0.0025% of the next $45 billion; and 0.0015% of aggregate average daily net assets in excess of $90 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the six months ended June 30, 2023, the Series paid $3,427 for these services.
DIFSC is also the transfer agent and dividend disbursing agent of the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Series’ average daily net assets. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended June 30, 2023, the Series paid $3,674 for these services. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are paid by the Series and are also included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees that are calculated daily and paid as invoices are received on a monthly or quarterly basis.
As provided in the investment management agreement, the Series bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to the Series. For the six months ended June 30, 2023, the Series paid $1,026 for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and Delaware Distributors, L.P. are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
In addition to the management fees and other expenses of the Series, the Series indirectly bears the investment management fees and other expenses of any Underlying Funds, including ETFs in which it invests. The amount of these fees and expenses incurred indirectly by the Series will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Growth Equity Series
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
*The aggregate contractual waiver period covering this report is from April 29, 2022 through April 30, 2024.
3. Investments
For the six months ended June 30, 2023, the Series made purchases and sales of investment securities other than short-term investments as follows:
| Purchases | | $ | 14,766,915 | |
| Sales | | | 17,038,657 | |
At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for the Series were as follows:
| Cost of investments | | $ | 91,409,673 | |
| Aggregate unrealized appreciation of investments | | $ | 22,064,753 | |
| Aggregate unrealized depreciation of investments | | | (775,836 | ) |
| Net unrealized appreciation of investments | | $ | 21,288,917 | |
US GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
| Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
| | |
| Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
| | |
| Level 3 – | Significant unobservable inputs, including the Series’ own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2023:
| | | | Level 1 | |
| Securities | | | | |
| Assets: | | | | |
| Common Stocks | | $ | 111,949,015 | |
| Short-Term Investments | | | 749,575 | |
| Total Value of Securities | | $ | 112,698,590 | |
During the six months ended June 30, 2023, there were no transfers into or out of Level 3 investments. The Series’ policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning or end of the period in relation to the Series’ net assets. During the six months ended June 30, 2023, there were no Level 3 investments.
4. Capital Shares
Transactions in capital shares were as follows:
| | | | Six months
ended
6/30/23 | | | Year ended
12/31/22 | |
| Shares sold: | | | | | | | | |
| Standard Class | | | 339,227 | | | | 179,422 | |
| Shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 1,929,404 | | | | 1,139,065 | |
| | | | 2,268,631 | | | | 1,318,487 | |
| Shares redeemed: | | | | | | | | |
| Standard Class | | | (483,626 | ) | | | (607,610 | ) |
| Net increase | | | 1,785,005 | | | | 710,877 | |
5. Line of Credit
The Series, along with certain other funds in the Delaware Funds (Participants), is a participant in a $355,000,000 revolving line of credit (Agreement) intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the Agreement, the Participants are charged an annual commitment fee of 0.15%, which is allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants are permitted to borrow up to a maximum of one-third of their net assets under the Agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the Agreement expires on October 30, 2023.
The Series had no amounts outstanding as of June 30, 2023, or at any time during the period then ended.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Growth Equity Series
6. Securities Lending
The Series, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by the Series is generally invested in an individual separate account. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. The Series can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Series may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of the Series’ cash collateral account may be less than the amount the Series would be required to return to the borrowers of the securities and the Series would be required to make up for this shortfall.
At June 30, 2023, the Series had no securities out on loan.
7. Credit and Market Risk
The global outbreak of COVID-19 resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the outbreak, its full economic impact and ongoing effects at the macro-level and on individual businesses are unpredictable and may result in significant and prolonged effects on a Series’ performance.
Investments in equity securities in general are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Series invests will cause the NAV of the Series to fluctuate.
The Series invests in growth stocks, which reflect projections of future earnings and revenue. These prices may rise or fall dramatically depending on whether those projections are met. These companies’ stock prices may be more volatile, particularly over the short term.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. As of June 30, 2023, there were no Rule 144A securities held by the Series.
8. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
9. New Regulatory Pronouncement
In October 2022, the Securities and Exchange Commission (SEC) adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
10. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in the Series’ financial statements.
Other Series information (Unaudited)
Delaware VIP® Trust — Delaware VIP Growth Equity Series
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end funds (other than money market funds) to adopt and implement a program reasonably designed to assess and manage the fund’s “liquidity risk,” defined as the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund.
The Series has adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Series in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of the Series’ liquidity risk; (2) classification of each of the Series’ portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Series’ net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting the Series’ acquisition of Illiquid investments if, immediately after the acquisition, the Series would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if the Series’ holdings of Illiquid assets exceed 15% of the Series’ net assets. Series with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing the Series’ liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) the Series’ investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Series during both normal and reasonably foreseeable stressed conditions; and (3) the Series’ holdings of cash and cash equivalents and any borrowing arrangements. Classification of the Series’ portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. The Series primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 23-25, 2023, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2022 through March 31, 2023. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and the Series’ liquidity needs. The Series’ HLIM is set at an appropriate level and the Series complied with its HLIM at all times during the reporting period.
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. The Series’ Form N-PORT, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities, is available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-PORT are available without charge on the Series’ website at delawarefunds.com/vip/literature.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Series’ website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(3031246)
SA-VIPGE-0823
Semiannual report
Delaware VIP® Trust
Delaware VIP International Series
June 30, 2023
Table of contents
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 (“Macquarie Bank”), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Series is governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2023, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
The Series is distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
This material may be used in conjunction with the offering of shares in Delaware VIP® International Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2023 Macquarie Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Disclosure of Series expenses
For the six-month period from January 1, 2023 to June 30, 2023 (Unaudited)
The investment objective of the Series is to seek long-term capital growth.
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2023 to June 30, 2023.
Actual expenses
The first section of the table shown, “Actual Series return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ expenses shown in the table reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
| | | Beginning
Account
Value
1/1/23 | | Ending
Account
Value
6/30/23 | | Annualized
Expense
Ratio | | Expenses
Paid
During
Period
1/1/23 to
6/30/23* |
| Actual Series return† | | | | | | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,165.00 | | | 0.86% | | $ | 4.62 | |
| Service Class | | | 1,000.00 | | | | 1,163.30 | | | 1.16% | | | 6.22 | |
| Hypothetical 5% return (5% return before expenses) | | | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,020.53 | | | 0.86% | | $ | 4.31 | |
| Service Class | | | 1,000.00 | | | | 1,019.04 | | | 1.16% | | | 5.81 | |
| * | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| † | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Series’ expenses reflected above, the Series also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds) in which it invests. The table above does not reflect the expenses of any Underlying Funds.
Security type / country and sector allocations
| Delaware VIP® Trust — Delaware VIP International Series | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund’s sector designations.
| Security type / country | | Percentage
of net assets |
| Common Stocks by Country | | 96.42 | % |
| Denmark | | 2.67 | % |
| France | | 19.70 | % |
| Germany | | 13.64 | % |
| Japan | | 9.48 | % |
| Netherlands | | 6.32 | % |
| Spain | | 4.45 | % |
| Sweden | | 9.79 | % |
| Switzerland | | 11.63 | % |
| United Kingdom | | 18.74 | % |
| Preferred Stock | | 2.51 | % |
| Short-Term Investments | | 0.60 | % |
| Total Value of Securities | | 99.53 | % |
| Receivables and Other Assets Net of Liabilities | | 0.47 | % |
| Total Net Assets | | 100.00 | % |
| | | | |
| Common stocks and preferred stock by sector | | Percentage
of net assets |
| Communication Services | | 5.52 | % |
| Consumer Discretionary | | 19.66 | % |
| Consumer Staples* | | 38.14 | % |
| Healthcare | | 13.63 | % |
| Industrials | | 12.17 | % |
| Information Technology | | 5.19 | % |
| Materials | | 4.62 | % |
| Total | | 98.93 | % |
| | |
| * | To monitor compliance with the Series’ concentration guidelines as described in the Series’ Prospectus and Statement of Additional Information, the Consumer Staples sector (as disclosed herein for financial reporting purposes) is subdivided into a variety of “industries” (in accordance with the requirements of the Investment Company Act of 1940, as amended). The Consumer Staples sector consisted of Beverages, Cosmetics/Personal Care, Food, and Household Products/Wares. As of June 30, 2023, such amounts, as a percentage of total net assets were 6.47%, 11.47%, 17.69%, and 2.51%, respectively. The percentage in any such single industry will comply with the Series’ concentration policy even if the percentage in the Consumer Staples sector for financial reporting purposes may exceed 25%. |
Schedule of investments
| Delaware VIP® Trust — Delaware VIP International Series | June 30, 2023 (Unaudited) |
| | | Number of
shares | | | Value (US $) | |
| Common Stocks – 96.42%Δ | | | | | | | | |
| Denmark – 2.67% | | | | | | | | |
| Novo Nordisk Class B | | | 30,760 | | | $ | 4,968,966 | |
| | | | | | | | 4,968,966 | |
| France – 19.70% | | | | | | | | |
| Air Liquide | | | 47,998 | | | | 8,607,725 | |
| Danone | | | 152,880 | | | | 9,369,014 | |
| Kering | | | 5,833 | | | | 3,220,977 | |
| Orange | | | 405,990 | | | | 4,744,579 | |
| Publicis Groupe | | | 38,127 | | | | 3,059,931 | |
| Sodexo | | | 69,836 | | | | 7,690,156 | |
| | | | | | | | 36,692,382 | |
| Germany – 13.64% | | | | | | | | |
| adidas AG | | | 43,774 | | | | 8,497,761 | |
| Fresenius Medical Care AG & Co. | | | 57,912 | | | | 2,767,680 | |
| Knorr-Bremse | | | 58,499 | | | | 4,471,875 | |
| SAP | | | 70,800 | | | | 9,671,804 | |
| | | | | | | | 25,409,120 | |
| Japan – 9.48% | | | | | | | | |
| Asahi Group Holdings | | | 49,500 | | | | 1,920,592 | |
| Kao | | | 144,700 | | | | 5,251,151 | |
| KDDI | | | 80,200 | | | | 2,476,826 | |
| Makita | | | 204,800 | | | | 5,788,935 | |
| Seven & i Holdings | | | 51,500 | | | | 2,224,911 | |
| | | | | | | | 17,662,415 | |
| Netherlands – 6.32% | | | | | | | | |
| Koninklijke Ahold Delhaize | | | 345,390 | | | | 11,775,390 | |
| | | | | | | | 11,775,390 | |
| Spain – 4.45% | | | | | | | | |
| Amadeus IT Group † | | | 108,961 | | | | 8,297,422 | |
| | | | | | | | 8,297,422 | |
| Sweden – 9.79% | | | | | | | | |
| Essity Class B | | | 251,921 | | | | 6,709,078 | |
| H & M Hennes & Mauritz Class B | | | 257,692 | | | | 4,431,608 | |
| Securitas Class B | | | 865,090 | | | | 7,105,634 | |
| | | | | | | | 18,246,320 | |
| Switzerland – 11.63% | | | | | | | | |
| Nestle | | | 79,840 | | | | 9,604,082 | |
| Roche Holding | | | 24,809 | | | | 7,578,407 | |
| Swatch Group | | | 15,333 | | | | 4,483,250 | |
| | | | | | | | 21,665,739 | |
| United Kingdom – 18.74% | | | | | | | | |
| Diageo | | | 235,880 | | | | 10,140,718 | |
| Intertek Group | | | 97,935 | | | | 5,308,854 | |
| Smith & Nephew | | | 623,090 | | | | 10,052,517 | |
| Unilever | | | 180,768 | | | | 9,413,356 | |
| | | | | | | | 34,915,445 | |
Total Common Stocks
(cost $176,135,487) | | | | | | | 179,633,199 | |
| | | | | | | | | |
| Preferred Stock – 2.51% | | | | | | | | |
| Germany – 2.51% | | | | | | | | |
| Henkel AG & Co. 2.64% ω | | | 58,502 | | | | 4,678,771 | |
Total Preferred Stock
(cost $4,760,613) | | | | | | | 4,678,771 | |
| | | | | | | | | |
| Short-Term Investments – 0.60% | | | | | | | | |
| Money Market Mutual Funds – 0.60% | | | | | | | | |
| BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99)% | | | 282,480 | | | | 282,480 | |
| Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99)% | | | 282,480 | | | | 282,480 | |
| Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14)% | | | 282,480 | | | | 282,480 | |
| Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03)% | | | 282,479 | | | | 282,479 | |
Total Short–Term Investments
(cost $1,129,919) | | | | | | | 1,129,919 | |
Total Value of Securities-99.53%
(cost $182,026,019) | | | | | | $ | 185,441,889 | |
| | |
| Δ | Securities have been classified by country of risk. Aggregate classification by business sector has been presented on page 2 in “Security type / country and sector allocations.” |
| † | Non-income producing security. |
| ω | Perpetual security with no stated maturity date. |
Summary of abbreviations:
AG – Aktiengesellschaft
See accompanying notes, which are an integral part of the financial statements.
Statement of assets and liabilities
| Delaware VIP® Trust — Delaware VIP International Series | June 30, 2023 (Unaudited) |
| Assets: | | | | |
| Investments, at value* | | $ | 185,441,889 | |
| Cash | | | 14,550 | |
| Foreign currencies, at valueΔ | | | 15 | |
| Foreign tax reclaims receivable | | | 1,023,782 | |
| Dividends receivable | | | 83,779 | |
| Receivable for series shares sold | | | 2,400 | |
| Other assets | | | 1,479 | |
| Total Assets | | | 186,567,894 | |
| Liabilities: | | | | |
| Investment management fees payable to affiliates | | | 111,157 | |
| Other accrued expenses | | | 83,733 | |
| Payable for series shares redeemed | | | 42,041 | |
| Administration expenses payable to affiliates | | | 18,771 | |
| Distribution fees payable to affiliates | | | 321 | |
| Total Liabilities | | | 256,023 | |
| Total Net Assets | | $ | 186,311,871 | |
| | | | | |
| Net Assets Consist of: | | | | |
| Paid-in capital | | $ | 181,615,643 | |
| Total distributable earnings (loss) | | | 4,696,228 | |
| Total Net Assets | | $ | 186,311,871 | |
| | | | | |
| Net Asset Value | | | | |
| Standard Class: | | | | |
| Net assets | | $ | 184,979,445 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 10,767,039 | |
| Net asset value per share | | $ | 17.18 | |
| Service Class: | | | | |
| Net assets | | $ | 1,332,426 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 77,781 | |
| Net asset value per share | | $ | 17.13 | |
| | | | |
| *Investments, at cost | | $ | 182,026,019 | |
| ΔForeign currencies, at cost | | | 15 | |
See accompanying notes, which are an integral part of the financial statements.
Statement of operations
| Delaware VIP® Trust — Delaware VIP International Series | Six months ended June 30, 2023 (Unaudited) |
| Investment Income: | | | | |
| Dividends | | $ | 3,089,834 | |
| Foreign tax withheld | | | (388,520 | ) |
| | | | 2,701,314 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 777,307 | |
| Distribution expenses — Service Class | | | 1,825 | |
| Accounting and administration expenses | | | 33,051 | |
| Custodian fees | | | 27,201 | |
| Audit and tax fees | | | 16,390 | |
| Dividend disbursing and transfer agent fees and expenses | | | 9,459 | |
| Legal fees | | | 8,024 | |
| Reports and statements to shareholders expenses | | | 7,412 | |
| Trustees’ fees and expenses | | | 2,974 | |
| Other | | | 5,009 | |
| | | | 888,652 | |
| Less expenses waived | | | (100,045 | ) |
| Total operating expenses | | | 788,607 | |
| Net Investment Income (Loss) | | | 1,912,707 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 1,591,167 | |
| Foreign currencies | | | (80,634 | ) |
| Foreign currency exchange contracts | | | (34,048 | ) |
| Net realized gain (loss) | | | 1,476,485 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 24,361,221 | |
| Foreign currencies | | | 93,163 | |
| Foreign currency exchange contracts | | | 247 | |
| Net change in unrealized appreciation (depreciation) | | | 24,454,631 | |
| Net Realized and Unrealized Gain (Loss) | | | 25,931,116 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 27,843,823 | |
See accompanying notes, which are an integral part of the financial statements.
Statements of changes in net assets
Delaware VIP® Trust — Delaware VIP International Series
| | | | Six months
ended
6/30/23
(Unaudited) | | | | Year ended
12/31/22 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 1,912,707 | | | $ | 2,690,542 | |
| Net realized gain (loss) | | | 1,476,485 | | | | (1,749,830 | ) |
| Net change in unrealized appreciation (depreciation) | | | 24,454,631 | | | | (38,364,785 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 27,843,823 | | | | (37,424,073 | ) |
| | | | | | | | | |
| Dividends and Distributions to Shareholders from: | | | | | | | | |
| Distributable earnings: | | | | | | | | |
| Standard Class | | | (2,483,787 | ) | | | (17,608,545 | ) |
| Service Class | | | (14,481 | ) | | | (71,038 | ) |
| | | | (2,498,268 | ) | | | (17,679,583 | ) |
| | | | | | | | | |
| Capital Share Transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Standard Class | | | 1,879,739 | | | | 6,118,124 | |
| Service Class | | | 267,433 | | | | 557,689 | |
| | | | | | | | | |
| Net asset value of shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 2,483,787 | | | | 17,608,545 | |
| Service Class | | | 14,481 | | | | 71,038 | |
| | | | 4,645,440 | | | | 24,355,396 | |
| Cost of shares redeemed: | | | | | | | | |
| Standard Class | | | (15,805,799 | ) | | | (14,789,745 | ) |
| Service Class | | | (173,887 | ) | | | (105,555 | ) |
| | | | (15,979,686 | ) | | | (14,895,300 | ) |
| Increase (decrease) in net assets derived from capital share transactions | | | (11,334,246 | ) | | | 9,460,096 | |
| Net Increase (Decrease) in Net Assets | | | 14,011,309 | | | | (45,643,560 | ) |
| | | | | | | | | |
| Net Assets: | | | | | | | | |
| Beginning of period | | | 172,300,562 | | | | 217,944,122 | |
| End of period | | $ | 186,311,871 | | | $ | 172,300,562 | |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Delaware VIP® International Series Standard Class
Selected data for each share of the Series outstanding throughout each period were as follows:
| | | | Six months
ended
6/30/231 | | | Year ended |
| | | | (Unaudited) | | | 12/31/22 | | | 12/31/21 | | | 12/31/20 | | | 12/31/192 | | | 12/31/18 | |
| Net asset value, beginning of period | | $ | 14.94 | | | $ | 19.87 | | | $ | 19.16 | | | $ | 25.00 | | | $ | 22.08 | | | $ | 26.57 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income3 | | | 0.17 | | | | 0.24 | | | | 0.26 | | | | 0.27 | | | | 0.18 | | | | 0.21 | |
| Net realized and unrealized gain (loss) | | | 2.30 | | | | (3.53 | ) | | | 1.05 | | | | — | | | | 4.97 | | | | (3.29 | ) |
| Total from investment operations | | | 2.47 | | | | (3.29 | ) | | | 1.31 | | | | 0.27 | | | | 5.15 | | | | (3.08 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.23 | ) | | | (0.25 | ) | | | (0.19 | ) | | | — | | | | (0.19 | ) | | | (0.21 | ) |
| Net realized gain | | | — | | | | (1.39 | ) | | | (0.41 | ) | | | (6.11 | ) | | | (2.04 | ) | | | (1.20 | ) |
| Total dividends and distributions | | | (0.23 | ) | | | (1.64 | ) | | | (0.60 | ) | | | (6.11 | ) | | | (2.23 | ) | | | (1.41 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 17.18 | | | $ | 14.94 | | | $ | 19.87 | | | $ | 19.16 | | | $ | 25.00 | | | $ | 22.08 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total return4 | | | 16.50 | %5 | | | (17.34 | )%5 | | | 6.87 | %5 | | | 7.16 | %5 | | | 24.91 | %5 | | | (12.16 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | | $ | 184,980 | | | $ | 171,244 | | | $ | 217,194 | | | $ | 215,577 | | | $ | 166,210 | | | $ | 142,248 | |
| Ratio of expenses to average net assets6 | | | 0.86 | % | | | 0.86 | % | | | 0.90 | % | | | 0.87 | % | | | 0.83 | % | | | 0.86 | % |
| Ratio of expenses to average net assets prior to fees waived6 | | | 0.97 | % | | | 0.97 | % | | | 1.00 | % | | | 1.04 | % | | | 0.87 | % | | | 0.86 | % |
| Ratio of net investment income to average net assets | | | 2.09 | % | | | 1.49 | % | | | 1.28 | % | | | 1.44 | % | | | 0.75 | % | | | 0.84 | % |
| Ratio of net investment income to average net assets prior to fees waived | | | 1.98 | % | | | 1.38 | % | | | 1.18 | % | | | 1.27 | % | | | 0.71 | % | | | 0.84 | % |
| Portfolio turnover | | | 10 | % | | | 29 | % | | | 33 | % | | | 16 | % | | | 144 | %7 | | | 50 | % |
| | |
| 1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2 | On October 4, 2019, the First Investors Life Series International Fund shares were reorganized into Standard Class shares of the Series. The Standard Class shares financial highlights for the period prior to October 4, 2019, reflect the performance of the First Investors Life Series International Fund shares. |
| 3 | Calculated using average shares outstanding. |
| 4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 5 | Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
| 6 | Expense ratios do not include expenses of any investment companies in which the Series invests. |
| 7 | The Series’ portfolio turnover rate increased substantially during the year ended December 31, 2019 due to a change in the Series’ portfolio managers and associated repositioning. |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Delaware VIP® International Series Service Class
Selected data for each share of the Series outstanding throughout the period were as follows:
| | | Six months
ended
6/30/232 | | | Year ended | | 12/14/201
to | |
| | | (Unaudited) | | | 12/31/22 | | | 12/31/21 | | | 12/31/20 | |
| Net asset value, beginning of period | | $ | 14.89 | | | $ | 19.81 | | | $ | 19.15 | | | $ | 18.93 | |
| | | | | | | | | | | | | | | | | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | |
| Net investment income3 | | | 0.15 | | | | 0.18 | | | | 0.20 | | | | — | 4 |
| Net realized and unrealized gain (loss) | | | 2.28 | | | | (3.51 | ) | | | 1.06 | | | | 0.22 | |
| Total from investment operations | | | 2.43 | | | | (3.33 | ) | | | 1.26 | | | | 0.22 | |
| | | | | | | | | | | | | | | | | |
| Less dividends and distributions from: | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.19 | ) | | | (0.20 | ) | | | (0.19 | ) | | | — | |
| Net realized gain | | | — | | | | (1.39 | ) | | | (0.41 | ) | | | — | |
| Total dividends and distributions | | | (0.19 | ) | | | (1.59 | ) | | | (0.60 | ) | | | — | |
| | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 17.13 | | | $ | 14.89 | | | $ | 19.81 | | | $ | 19.15 | |
| | | | | | | | | | | | | | | | | |
| Total return5 | | | 16.33 | % | | | (17.60 | )% | | | 6.59 | % | | | 1.16 | % |
| | | | | | | | | | | | | | | | | |
| Ratios and supplemental data: | | | | | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | | $ | 1,332 | | | $ | 1,057 | | | $ | 750 | | | $ | 776 | |
| Ratio of expenses to average net assets6 | | | 1.16 | % | | | 1.16 | % | | | 1.20 | % | | | 1.16 | % |
| Ratio of expenses to average net assets prior to fees waived6 | | | 1.27 | % | | | 1.27 | % | | | 1.30 | % | | | 1.33 | % |
| Ratio of net investment income to average net assets | | | 1.86 | % | | | 1.19 | % | | | 0.98 | % | | | 0.27 | % |
| Ratio of net investment income to average net assets prior to fees waived | | | 1.75 | % | | | 1.08 | % | | | 0.88 | % | | | 0.10 | % |
| Portfolio turnover | | | 10 | % | | | 29 | % | | | 33 | % | | | 16 | %7 |
| | |
| 1 | Date of commencement of operations; ratios have been annualized and total return has not been annualized. |
| 2 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 3 | Calculated using average shares outstanding. |
| 4 | Amount is less than $0.005 per share. |
| 5 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during the period shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 6 | Expense ratios do not include expenses of any investment companies in which the Series invests. |
| 7 | Portfolio turnover is representative of the Series for the entire period. |
See accompanying notes, which are an integral part of the financial statements.
Notes to financial statements
| Delaware VIP® Trust — Delaware VIP International Series | June 30, 2023 (Unaudited) |
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust. The Trust consists of 10 series, each of which is treated as a separate entity for certain matters under the Investment Company Act of 1940, as amended (1940 Act). These financial statements and the related notes pertain to Delaware VIP International Series (Series). The Trust is an open-end investment company. The Series is considered non-diversified under the 1940 Act and offers Standard Class and Service Class shares. The Standard Class shares do not carry a distribution and service (12b-1) fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
1. Significant Accounting Policies
The Series follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Series.
Security Valuation — Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and the ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. Open-end investment companies, other than ETFs, are valued at their published net asset value (NAV). Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and the ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by the Series’ valuation designee, Delaware Management Company (DMC). Subject to the oversight of the Trust’s Board of Trustees (Board), DMC, as valuation designee, has adopted policies and procedures to fair value securities for which market quotations are not readily available consistent with the requirements of Rule 2a-5 under the 1940 Act. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Restricted securities and private placements are valued at fair value.
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken or expected to be taken on the Series’ federal income tax returns through the six months ended June 30, 2023, and for all open tax years (years ended December 31, 2019–December 31, 2022), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regard to foreign taxes only, the Series has open tax years in certain foreign countries in which it invests that may date back to the inception of the Series. If applicable, the Series recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statement of operations.” During the six months ended June 30, 2023, the Series did not incur any interest or tax penalties.
Class Accounting — Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Underlying Funds — The Series may invest in other investment companies (Underlying Funds) to the extent permitted by the 1940 Act. The Underlying Funds in which the Series may invest include ETFs. The Series will indirectly bear the investment management fees and other expenses of the Underlying Funds.
Foreign Currency Transactions — Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Series’ prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into US dollars at the exchange rate of such currencies against the US dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current
Notes to financial statements
Delaware VIP® Trust — Delaware VIP International Series
1. Significant Accounting Policies (continued)
period. The Series generally does not bifurcate that portion of realized gains and losses on investments which is due to changes in foreign exchange rates from that which is due to changes in market prices. These gains and losses are included on the “Statement of operations” under “Net realized gain (loss) on investments.” The Series reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Derivative Financial Instruments — The Series may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Series must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Series’ successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Series can realize on an investment and/or may result in lower distributions paid to shareholders. The Series’ investments in these instruments, if any, are discussed in detail in the Notes to financial statements.
Segregation and Collateralizations — In certain cases, based on requirements and agreements with certain exchanges and third-party broker-dealers, the Series may deliver or receive collateral in connection with certain investments (e.g., futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods, and swaps). Certain countries require that cash reserves be held while investing in companies incorporated in that country. These cash reserves and cash collateral that has been pledged/received to cover obligations of the Series under derivative contracts, if any, will be reported separately on the “Statement of assets and liabilities” as cash collateral due to/from broker. Securities collateral pledged for the same purpose, if any, is noted on the “Schedule of investments.”
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Taxable non-cash dividends are recorded as dividend income. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Series is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Series’ understanding of the applicable country’s tax rules and rates. Income and capital gain distributions from any Underlying Funds in which the Series invests are recorded on the ex-dividend date. The Series may pay foreign capital gains taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes. The Series will accrue such taxes as applicable based upon current interpretations of the tax rules and regulations that exist in the markets in which it invests. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, at least annually. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expenses paid under this arrangement are included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.”
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays DMC, a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly at the rates of 0.85% on the first $500 million of average daily net assets of the Series, 0.80% on the next $500 million, 0.75% on the next $1.5 billion, and 0.70% on average daily net assets in excess of $2.5 billion.
DMC has contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding any 12b-1 fees, acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations), in order to prevent total annual series operating expenses from exceeding 0.86% of the Series’ average daily net assets for the Standard Class and the Service Class from January 1, 2023 through June 30, 2023.* These waivers and reimbursements may only be terminated by agreement of DMC and the Series. The waivers and reimbursements are accrued daily and received monthly.
DMC may permit its affiliate, Macquarie Investment Management Global Limited (MIMGL) to execute Series security trades on its behalf. DMC may also seek quantitative support from MIMGL. Although MIMGL serves as sub-advisor, DMC has ultimate responsibility for all investment advisory services. For these services, DMC, not the Series, may pay MIMGL a portion of its investment management fee.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; 0.0025% of the next $45 billion; and 0.0015% of aggregate average daily net assets in excess of $90 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the six months ended June 30, 2023, the Series paid $4,690 for these services.
DIFSC is also the transfer agent and dividend disbursing agent of the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Series’ average daily net assets. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended June 30, 2023, the Series paid $6,928 for these services. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are paid by the Series and are also included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees that are calculated daily and paid as invoices are received on a monthly or quarterly basis.
Pursuant to a distribution agreement and distribution plan, the Series pays DDLP, the distributor and an affiliate of DMC, an annual 12b-1 fee of 0.30% of the average daily net assets of the Service Class shares. The fees are calculated daily and paid monthly. Standard Class shares do not pay 12b-1 fees.
As provided in the investment management agreement, the Series bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to the Series. For the six months ended June 30, 2023, the Series paid $1,916 for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
In addition to the management fees and other expenses of the Series, the Series indirectly bears the investment management fees and other expenses of any Underlying Funds, including ETFs in which it invests. The amount of these fees and expenses incurred indirectly by the Series will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
| * | The aggregate contractual waiver period covering this report is from April 29, 2022 through April 30, 2024 |
Notes to financial statements
Delaware VIP® Trust — Delaware VIP International Series
3. Investments
For the six months ended June 30, 2023, the Series made purchases and sales of investment securities other than short-term investments as follows:
| Purchases | | | $ | 17,660,088 | |
| Sales | | | | 30,623,062 | |
At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for the Series were as follows:
| Cost of investments | | $ | 182,026,019 | |
| Aggregate unrealized appreciation of investments | | $ | 13,346,023 | |
| Aggregate unrealized depreciation of investments | | | (9,930,153 | ) |
| Net unrealized appreciation of investments | | $ | 3,415,870 | |
At December 31, 2022, capital loss carryforwards available to offset future realized capital gains were as follows:
| Loss carryforward character | | | | |
| Short-term | | | Long-term | | | Total | |
| $ | 234,098 | | | $ | — | | | $ | 234,098 | |
US GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
| Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
| | |
| Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
| | |
| Level 3 – | Significant unobservable inputs, including the Series’ own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2023:
| | | Level 1 | | | Level 2 | | | Total | |
| Securities | | | | | | | | | | | | |
| Assets: | | | | | | | | | | | | |
| Common Stocks | | $ | — | | | $ | 179,633,199 | | | $ | 179,633,199 | |
| Preferred Stock | | | — | | | | 4,678,771 | | | | 4,678,771 | |
| Short-Term Investments | | | 1,129,919 | | | | — | | | | 1,129,919 | |
| Total Value of Securities | | $ | 1,129,919 | | | $ | 184,311,970 | | | $ | 185,441,889 | |
During the six months ended June 30, 2023, there were no transfers into or out of Level 3 investments. The Series’ policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning or end of the period in relation to the Series’ net assets. During the six months ended June 30, 2023, there were no Level 3 investments.
4. Capital Shares
Transactions in capital shares were as follows:
| | | Six months
ended
6/30/23 | | | Year ended
12/31/22 | |
| Shares sold: | | | | | | | | |
| Standard Class | | | 112,476 | | | | 392,877 | |
| Service Class | | | 16,485 | | | | 35,496 | |
| Shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 143,571 | | | | 1,068,480 | |
| Service Class | | | 840 | | | | 4,315 | |
| | | | 273,372 | | | | 1,501,168 | |
| Shares redeemed: | | | | | | | | |
| Standard Class | | | (952,629 | ) | | | (927,232 | ) |
| Service Class | | | (10,526 | ) | | | (6,675 | ) |
| | | | (963,155 | ) | | | (933,907 | ) |
| Net increase (decrease) | | | (689,783 | ) | | | 567,261 | |
5. Line of Credit
The Series, along with certain other funds in the Delaware Funds (Participants), is a participant in a $355,000,000 revolving line of credit (Agreement) intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the Agreement, the Participants are charged an annual commitment fee of 0.15%, which is allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants are permitted to borrow up to a maximum of one-third of their net assets under the Agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the Agreement expires on October 30, 2023.
The Series had no amounts outstanding as of June 30, 2023, or at any time during the period then ended.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP International Series
6. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts
The Series may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. The Series may enter into these contracts to fix the US dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. The Series may also use these contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies. In addition, the Series may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Series could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Series’ maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Series and the counterparty and by the posting of collateral by the counterparty to the Series to cover the Series’ exposure to the counterparty.
During the six months ended June 30, 2023, the Series entered into foreign currency exchange contracts and foreign cross currency exchange contracts to fix the US dollar value of a security between trade date and settlement date.
During the six months ended June 30, 2023, the Series experienced net realized and unrealized gains or losses attributable to foreign currency holdings, which are disclosed on the “Statement of assets and liabilities” and “Statement of operations.”
The table below summarizes the average daily balance of derivative holdings by the Series during the six months ended June 30, 2023:
| | | Long Derivative
Volume | | | Short Derivative
Volume | |
| Foreign currency exchange contracts (average notional value) | | $ | 151,441 | | | $ | 274,553 | |
7. Securities Lending
The Series, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by the Series is generally invested in an individual separate account. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by
US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. The Series can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Series may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of the Series’ cash collateral account may be less than the amount the Series would be required to return to the borrowers of the securities and the Series would be required to make up for this shortfall.
At June 30, 2023, the Series had no securities out on loan.
8. Credit and Market Risk
The global outbreak of COVID-19 resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the outbreak, its full economic impact and ongoing effects at the macro-level and on individual businesses are unpredictable and may result in significant and prolonged effects on a Series’ performance.
Investments in equity securities in general are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Series invests will cause the NAV of the Series to fluctuate.
Some countries in which the Series may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the US. Consequently, acquisition and disposition of securities by the Series may be inhibited. In addition, a significant portion of the aggregate market value of equity securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Series.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. As of June 30, 2023, there were no Rule 144A securities held by the Series.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP International Series
9. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
10. New Regulatory Pronouncement
In October 2022, the Securities and Exchange Commission (SEC) adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
11. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in the Series’ financial statements.
Other Series information (Unaudited)
Delaware VIP® Trust — Delaware VIP International Series
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end funds (other than money market funds) to adopt and implement a program reasonably designed to assess and manage the fund’s “liquidity risk,” defined as the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund.
The Series has adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Series in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of the Series’ liquidity risk; (2) classification of each of the Series’ portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Series’ net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting the Series’ acquisition of Illiquid investments if, immediately after the acquisition, the Series would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if the Series’ holdings of Illiquid assets exceed 15% of the Series’ net assets. Series with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing the Series’ liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) the Series’ investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Series during both normal and reasonably foreseeable stressed conditions; and (3) the Series’ holdings of cash and cash equivalents and any borrowing arrangements. Classification of the Series’ portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. The Series primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 23-25, 2023, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2022 through March 31, 2023. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and the Series’ liquidity needs. The Series’ HLIM is set at an appropriate level and the Series complied with its HLIM at all times during the reporting period.
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. The Series’ Form N-PORT, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities, is available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-PORT are available without charge on the Series’ website at delawarefunds.com/vip/literature.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Series’ website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(3031246)
SA-VIPINT-0823
Semiannual report
Delaware VIP® Trust
Delaware VIP Investment Grade Series
June 30, 2023
Table of contents
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 (“Macquarie Bank”), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Series is governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2023, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
The Series is distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
This material may be used in conjunction with the offering of shares in Delaware VIP® Investment Grade Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2023 Macquarie Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Disclosure of Series expenses
For the six-month period from January 1, 2023 to June 30, 2023 (Unaudited)
The investment objective of the Series is to seek to generate a maximum level of income consistent with investment primarily in investment grade debt securities.
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2023 to June 30, 2023.
Actual expenses
The first section of the table shown, “Actual Series return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ expenses shown in the table reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
| | | Beginning
Account
Value
1/1/23 | | Ending
Account
Value
6/30/23 | | Annualized
Expense
Ratio | | Expenses
Paid
During
Period
1/1/23 to
6/30/23* |
| Actual Series return† | | | | | | | | | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,024.10 | | | 0.63% | | $ | 3.16 | |
| Service Class | | | 1,000.00 | | | | 1,023.40 | | | 0.93% | | | 4.67 | |
| Hypothetical 5% return (5% return before expenses) | | | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,021.67 | | | 0.63% | | $ | 3.16 | |
| Service Class | | | 1,000.00 | | | | 1,020.18 | | | 0.93% | | | 4.66 | |
| | |
| * | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| † | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Series’ expenses reflected above, the Series also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds) in which it invests. The table above does not reflect the expenses of any Underlying Funds.
Security type / sector allocations
| Delaware VIP® Trust — Delaware VIP Investment Grade Series | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund’s sector designations.
| Security type / sector | | Percentage
of net assets |
| Agency Collateralized Mortgage Obligations | | 0.09 | % |
| Convertible Bond | | 0.15 | % |
| Corporate Bonds | | 93.59 | % |
| Banking | | 18.60 | % |
| Basic Industry | | 1.25 | % |
| Brokerage | | 1.12 | % |
| Capital Goods | | 5.54 | % |
| Communications | | 10.78 | % |
| Consumer Cyclical | | 3.62 | % |
| Consumer Non-Cyclical | | 9.76 | % |
| Electric | | 12.28 | % |
| Energy | | 8.38 | % |
| Finance Companies | | 3.93 | % |
| Insurance | | 5.84 | % |
| Natural Gas | | 1.97 | % |
| Real Estate Investment Trusts | | 1.19 | % |
| Technology | | 6.68 | % |
| Transportation | | 2.65 | % |
| Municipal Bonds | | 0.30 | % |
| Loan Agreements | | 3.30 | % |
| US Treasury Obligations | | 1.66 | % |
| Short-Term Investments | | 0.69 | % |
| Total Value of Securities | | 99.78 | % |
| Receivables and Other Assets Net of Liabilities | | 0.22 | % |
| Total Net Assets | | 100.00 | % |
Schedule of investments
| Delaware VIP® Trust — Delaware VIP Investment Grade Series | June 30, 2023 (Unaudited) |
| | | Principal
amount° | | Value (US $) |
| Agency Collateralized Mortgage Obligations — 0.09% | | | | | | | | |
| Freddie Mac Structured Agency Credit Risk REMIC Trust Series 2021-DNA3 M1 144A 5.817% (SOFR + 0.75%) 10/25/33 #, • | | | 32,614 | | | $ | 32,410 | |
Total Agency Collateralized Mortgage Obligations
(cost $32,614) | | | | | | | 32,410 | |
| | | | | | | | | |
| Convertible Bond — 0.15% | | | | | | | | |
| Spirit Airlines 1.00% exercise price $42.36, maturity date 5/15/26 | | | 69,000 | | | | 56,097 | |
Total Convertible Bond
(cost $62,758) | | | | | | | 56,097 | |
| | | | | | | | | |
| | | Principal
amount | | | | |
| Corporate Bonds — 93.59% | | | | | | | | |
| Banking — 18.60% | | | | | | | | |
| Bank of America | | | | | | | | |
| 2.482% 9/21/36 µ | | | 195,000 | | | | 149,269 | |
| 5.288% 4/25/34 µ | | | 370,000 | | | | 366,728 | |
| 6.204% 11/10/28 µ | | | 260,000 | | | | 267,452 | |
| Bank of New York Mellon | | | | | | | | |
| 4.70% 9/20/25 µ, ψ | | | 350,000 | | | | 340,812 | |
| 5.802% 10/25/28 µ | | | 25,000 | | | | 25,499 | |
| 5.834% 10/25/33 µ | | | 195,000 | | | | 203,390 | |
| Barclays 7.385% 11/2/28 µ | | | 200,000 | | | | 208,496 | |
| Citigroup | | | | | | | | |
| 5.61% 9/29/26 µ | | | 190,000 | | | | 189,843 | |
| 6.174% 5/25/34 µ | | | 165,000 | | | | 166,527 | |
| Citizens Bank 6.064% 10/24/25 µ | | | 250,000 | | | | 237,036 | |
| Credit Agricole 144A 5.514% 7/5/33 # | | | 250,000 | | | | 251,689 | |
| Deutsche Bank 6.72% 1/18/29 µ | | | 150,000 | | | | 150,330 | |
| Fifth Third Bank 5.852% 10/27/25 µ | | | 250,000 | | | | 243,644 | |
| Goldman Sachs Group 1.542% 9/10/27 µ | | | 630,000 | | | | 554,116 | |
| Huntington National Bank 4.552% 5/17/28 µ | | | 250,000 | | | | 233,412 | |
| JPMorgan Chase & Co. | | | | | | | | |
| 1.764% 11/19/31 µ | | | 215,000 | | | | 170,227 | |
| 5.35% 6/1/34 µ | | | 100,000 | | | | 100,838 | |
| KeyBank | | | | | | | | |
| 5.00% 1/26/33 | | | 250,000 | | | | 216,475 | |
| 5.85% 11/15/27 | | | 305,000 | | | | 287,455 | |
| KeyCorp | | | | | | | | |
| 3.878% 5/23/25 µ | | | 100,000 | | | | 92,507 | |
| 4.789% 6/1/33 µ | | | 44,000 | | | | 36,908 | |
| Morgan Stanley | | | | | | | | |
| 1.928% 4/28/32 µ | | | 130,000 | | | | 101,543 | |
| 2.484% 9/16/36 µ | | | 185,000 | | | | 140,446 | |
| 5.25% 4/21/34 µ | | | 255,000 | | | | 251,919 | |
| 6.138% 10/16/26 µ | | | 40,000 | | | | 40,420 | |
| 6.342% 10/18/33 µ | | | 155,000 | | | | 164,960 | |
| PNC Financial Services Group | | | | | | | | |
| 5.068% 1/24/34 µ | | | 100,000 | | | | 95,932 | |
| 5.671% 10/28/25 µ | | | 130,000 | | | | 128,981 | |
| Popular 7.25% 3/13/28 | | | 195,000 | | | | 195,000 | |
| SVB Financial Group | | | | | | | | |
| 1.80% 10/28/26 ‡ | | | 62,000 | | | | 44,243 | |
| 1.80% 2/2/31 ‡ | | | 58,000 | | | | 36,888 | |
| 2.10% 5/15/28 ‡ | | | 30,000 | | | | 20,400 | |
| 4.00% 5/15/26 µ, ‡, ψ | | | 105,000 | | | | 7,707 | |
| 4.57% 4/29/33 µ, ‡ | | | 126,000 | | | | 84,592 | |
| Truist Bank 2.636% 9/17/29 µ | | | 445,000 | | | | 410,953 | |
| Truist Financial | | | | | | | | |
| 4.95% 9/1/25 µ, ψ | | | 395,000 | | | | 366,362 | |
| 6.123% 10/28/33 µ | | | 82,000 | | | | 83,263 | |
| US Bancorp | | | | | | | | |
| 2.491% 11/3/36 µ | | | 115,000 | | | | 84,196 | |
| 4.653% 2/1/29 µ | | | 63,000 | | | | 60,239 | |
| 5.727% 10/21/26 µ | | | 79,000 | | | | 78,988 | |
| 5.836% 6/12/34 µ | | | 90,000 | | | | 90,693 | |
| | | | | | | | 6,980,378 | |
| Basic Industry — 1.25% | | | | | | | | |
| Celanese US Holdings 6.05% 3/15/25 | | | 195,000 | | | | 194,301 | |
| Graphic Packaging International 144A 3.50% 3/1/29 # | | | 130,000 | | | | 113,853 | |
| Newmont 2.80% 10/1/29 | | | 2,000 | | | | 1,722 | |
| Sherwin-Williams 2.90% 3/15/52 | | | 245,000 | | | | 157,838 | |
| | | | | | | | 467,714 | |
| Brokerage — 1.12% | | | | | | | | |
| Jefferies Financial Group | | | | | | | | |
| 2.625% 10/15/31 | | | 425,000 | | | | 329,878 | |
| 6.50% 1/20/43 | | | 90,000 | | | | 90,256 | |
| | | | | | | | 420,134 | |
| Capital Goods — 5.54% | | | | | | | | |
| Amphenol 2.20% 9/15/31 | | | 180,000 | | | | 146,728 | |
| Ardagh Metal Packaging Finance USA 144A 4.00% 9/1/29 # | | | 200,000 | | | | 158,622 | |
| Ashtead Capital 144A 1.50% 8/12/26 # | | | 400,000 | | | | 349,826 | |
| Boeing 3.75% 2/1/50 | | | 60,000 | | | | 45,098 | |
| Lockheed Martin 4.75% 2/15/34 | | | 150,000 | | | | 149,725 | |
| Pactiv Evergreen Group Issuer 144A 4.00% 10/15/27 # | | | 140,000 | | | | 123,969 | |
| Raytheon Technologies | | | | | | | | |
| 5.15% 2/27/33 | | | 410,000 | | | | 415,784 | |
| 5.375% 2/27/53 | | | 60,000 | | | | 62,367 | |
| Republic Services 5.00% 4/1/34 | | | 145,000 | | | | 144,777 | |
Schedule of investments
Delaware VIP® Trust — Delaware VIP Investment Grade Series
| | | Principal
amount | | Value (US $) |
| Corporate Bonds (continued) | | | | | | | | |
| Capital Goods (continued) | | | | | | | | |
| Teledyne Technologies 2.25% 4/1/28 | | | 405,000 | | | $ | 353,798 | |
| Waste Connections 2.95% 1/15/52 | | | 185,000 | | | | 126,879 | |
| | | | | | | | 2,077,573 | |
| Communications — 10.78% | | | | | | | | |
| Altice France 144A 5.125% 1/15/29 # | | | 200,000 | | | | 142,804 | |
| AMC Networks 4.75% 8/1/25 | | | 156,000 | | | | 136,589 | |
| AT&T | | | | | | | | |
| 3.50% 9/15/53 | | | 710,000 | | | | 503,123 | |
| 5.40% 2/15/34 | | | 55,000 | | | | 55,122 | |
| CCO Holdings | | | | | | | | |
| 144A 4.50% 6/1/33 # | | | 35,000 | | | | 27,522 | |
| 144A 4.75% 2/1/32 # | | | 150,000 | | | | 122,483 | |
| 144A 6.375% 9/1/29 # | | | 70,000 | | | | 66,027 | |
| Cellnex Finance 144A 3.875% 7/7/41 # | | | 200,000 | | | | 146,719 | |
| Charter Communications Operating 3.85% 4/1/61 | | | 365,000 | | | | 221,074 | |
| Comcast | | | | | | | | |
| 2.80% 1/15/51 | | | 545,000 | | | | 361,238 | |
| 4.80% 5/15/33 | | | 175,000 | | | | 173,245 | |
| Crown Castle | | | | | | | | |
| 1.05% 7/15/26 | | | 50,000 | | | | 43,811 | |
| 2.10% 4/1/31 | | | 171,000 | | | | 136,970 | |
| CSC Holdings 144A 4.50% 11/15/31 # | | | 200,000 | | | | 139,656 | |
| Directv Financing 144A 5.875% 8/15/27 # | | | 150,000 | | | | 136,022 | |
| Discovery Communications 4.00% 9/15/55 | | | 303,000 | | | | 201,696 | |
| Sprint Capital 6.875% 11/15/28 | | | 165,000 | | | | 175,047 | |
| Time Warner Cable 7.30% 7/1/38 | | | 100,000 | | | | 101,994 | |
| T-Mobile USA | | | | | | | | |
| 3.375% 4/15/29 | | | 535,000 | | | | 483,612 | |
| 5.05% 7/15/33 | | | 155,000 | | | | 152,259 | |
| Verizon Communications 2.875% 11/20/50 | | | 265,000 | | | | 172,877 | |
| Virgin Media Secured Finance 144A 5.50% 5/15/29 # | | | 200,000 | | | | 181,099 | |
| Warnermedia Holdings 6.412% 3/15/26 | | | 165,000 | | | | 165,174 | |
| | | | | | | | 4,046,163 | |
| Consumer Cyclical — 3.62% | | | | | | | | |
| Amazon.com 2.50% 6/3/50 | | | 520,000 | | | | 346,329 | |
| Aptiv 3.10% 12/1/51 | | | 364,000 | | | | 229,172 | |
| Ford Motor Credit 6.95% 3/6/26 | | | 200,000 | | | | 201,259 | |
| General Motors Financial | | | | | | | | |
| 5.85% 4/6/30 | | | 290,000 | | | | 287,743 | |
| 6.40% 1/9/33 | | | 120,000 | | | | 122,054 | |
| VICI Properties 4.95% 2/15/30 | | | 185,000 | | | | 173,712 | |
| | | | | | | | 1,360,269 | |
| Consumer Non-Cyclical — 9.76% | | | | | | | | |
| Amgen | | | | | | | | |
| 5.15% 3/2/28 | | | 100,000 | | | | 99,981 | |
| 5.25% 3/2/30 | | | 75,000 | | | | 75,207 | |
| 5.25% 3/2/33 | | | 166,000 | | | | 166,291 | |
| 5.65% 3/2/53 | | | 55,000 | | | | 55,739 | |
| Astrazeneca Finance 4.875% 3/3/28 | | | 150,000 | | | | 149,986 | |
| Baxter International 3.132% 12/1/51 | | | 255,000 | | | | 168,443 | |
| Bimbo Bakeries USA 144A 4.00% 5/17/51 # | | | 200,000 | | | | 160,801 | |
| Bunge Limited Finance 2.75% 5/14/31 | | | 290,000 | | | | 243,576 | |
| Cigna Group 5.685% 3/15/26 | | | 260,000 | | | | 260,366 | |
| CVS Health | | | | | | | | |
| 2.70% 8/21/40 | | | 419,000 | | | | 292,797 | |
| 4.78% 3/25/38 | | | 85,000 | | | | 78,491 | |
| 5.25% 1/30/31 | | | 65,000 | | | | 64,816 | |
| Eli Lilly & Co. 5.00% 2/27/26 | | | 115,000 | | | | 115,110 | |
| HCA | | | | | | | | |
| 3.50% 7/15/51 | | | 196,000 | | | | 135,798 | |
| 5.20% 6/1/28 | | | 80,000 | | | | 79,405 | |
| JBS USA Lux 144A 3.00% 2/2/29 # | | | 128,000 | | | | 108,864 | |
| Merck & Co. 2.75% 12/10/51 | | | 72,000 | | | | 49,740 | |
| Perrigo Finance Unlimited 4.375% 3/15/26 | | | 300,000 | | | | 285,512 | |
| Pfizer Investment Enterprises | | | | | | | | |
| 4.75% 5/19/33 | | | 160,000 | | | | 159,459 | |
| 5.11% 5/19/43 | | | 110,000 | | | | 110,320 | |
| 5.30% 5/19/53 | | | 95,000 | | | | 98,844 | |
| Royalty Pharma | | | | | | | | |
| 3.35% 9/2/51 | | | 545,000 | | | | 351,555 | |
| 3.55% 9/2/50 | | | 19,000 | | | | 12,848 | |
| Sodexo 144A 1.634% 4/16/26 # | | | 260,000 | | | | 233,827 | |
| US Foods 144A 4.75% 2/15/29 # | | | 115,000 | | | | 105,401 | |
| | | | | | | | 3,663,177 | |
| Electric — 12.28% | | | | | | | | |
| AEP Texas 5.40% 6/1/33 | | | 55,000 | | | | 54,752 | |
| American Electric Power 5.699% 8/15/25 | | | 105,000 | | | | 104,421 | |
| Appalachian Power 4.50% 8/1/32 | | | 235,000 | | | | 220,415 | |
| Berkshire Hathaway Energy 2.85% 5/15/51 | | | 110,000 | | | | 71,253 | |
| CenterPoint Energy Houston Electric 4.95% 4/1/33 | | | 200,000 | | | | 199,756 | |
| Commonwealth Edison 2.75% 9/1/51 | | | 300,000 | | | | 194,639 | |
| Constellation Energy Generation 5.60% 3/1/28 | | | 115,000 | | | | 115,969 | |
| Consumers Energy 4.625% 5/15/33 | | | 127,000 | | | | 123,662 | |
| Duke Energy Carolinas 5.35% 1/15/53 | | | 75,000 | | | | 76,090 | |
| Duke Energy Indiana 5.40% 4/1/53 | | | 110,000 | | | | 111,052 | |
| Duke Energy Ohio 5.25% 4/1/33 | | | 75,000 | | | | 75,594 | |
| | | Principal
amount | | Value (US $) |
| Corporate Bonds (continued) | | | | | | | | |
| Electric (continued) | | | | | | | | |
| Edison International 8.125% 6/15/53 µ | | | 170,000 | | | $ | 173,902 | |
| Enel Finance International 144A 6.80% 10/14/25 # | | | 200,000 | | | | 203,804 | |
| Eversource Energy 5.45% 3/1/28 | | | 120,000 | | | | 120,911 | |
| Exelon 5.30% 3/15/33 | | | 70,000 | | | | 69,815 | |
| IPALCO Enterprises 4.25% 5/1/30 | | | 120,000 | | | | 108,697 | |
| Liberty Utilities Finance GP 1 144A 2.05% 9/15/30 # | | | 190,000 | | | | 147,775 | |
| Louisville Gas and Electric 5.45% 4/15/33 | | | 95,000 | | | | 96,835 | |
| NextEra Energy Capital Holdings | | | | | | | | |
| 3.00% 1/15/52 | | | 230,000 | | | | 151,579 | |
| 6.051% 3/1/25 | | | 170,000 | | | | 170,715 | |
| NRG Energy 144A 2.45% 12/2/27 # | | | 100,000 | | | | 84,356 | |
| Oglethorpe Power | | | | | | | | |
| 3.75% 8/1/50 | | | 215,000 | | | | 160,299 | |
| 4.50% 4/1/47 | | | 210,000 | | | | 173,870 | |
| 5.25% 9/1/50 | | | 225,000 | | | | 208,582 | |
| Pacific Gas and Electric | | | | | | | | |
| 3.30% 8/1/40 | | | 45,000 | | | | 30,377 | |
| 4.60% 6/15/43 | | | 135,000 | | | | 102,318 | |
| PacifiCorp 2.90% 6/15/52 | | | 580,000 | | | | 362,340 | |
| Public Service of Colorado 5.25% 4/1/53 | | | 80,000 | | | | 76,937 | |
| Public Service Co. of Oklahoma 3.15% 8/15/51 | | | 170,000 | | | | 112,968 | |
| San Diego Gas & Electric 3.32% 4/15/50 | | | 120,000 | | | | 86,074 | |
| Southern California Edison | | | | | | | | |
| 3.45% 2/1/52 | | | 65,000 | | | | 46,606 | |
| 4.125% 3/1/48 | | | 22,000 | | | | 17,879 | |
| Vistra Operations | | | | | | | | |
| 144A 3.55% 7/15/24 # | | | 244,000 | | | | 235,720 | |
| 144A 5.125% 5/13/25 # | | | 170,000 | | | | 165,919 | |
| WEC Energy Group 5.15% 10/1/27 | | | 155,000 | | | | 154,880 | |
| | | | | | | | 4,610,761 | |
| Energy — 8.38% | | | | | | | | |
| BP Capital Markets 4.875% 3/22/30 µ, ψ | | | 330,000 | | | | 301,001 | |
| BP Capital Markets America | | | | | | | | |
| 2.939% 6/4/51 | | | 145,000 | | | | 99,133 | |
| 4.812% 2/13/33 | | | 157,000 | | | | 154,792 | |
| Cheniere Energy Partners 144A 5.95% 6/30/33 # | | | 115,000 | | | | 115,478 | |
| ConocoPhillips 5.30% 5/15/53 | | | 110,000 | | | | 111,986 | |
| Diamondback Energy | | | | | | | | |
| 3.125% 3/24/31 | | | 220,000 | | | | 188,552 | |
| 4.25% 3/15/52 | | | 130,000 | | | | 99,859 | |
| Enbridge 5.75% 7/15/80 µ | | | 195,000 | | | | 176,337 | |
| Energy Transfer | | | | | | | | |
| 6.25% 4/15/49 | | | 140,000 | | | | 136,885 | |
| 6.50% 11/15/26 µ, ψ | | | 385,000 | | | | 350,666 | |
| Enterprise Products Operating | | | | | | | | |
| 3.30% 2/15/53 | | | 275,000 | | | | 196,585 | |
| 5.35% 1/31/33 | | | 30,000 | | | | 30,520 | |
| Galaxy Pipeline Assets Bidco 144A 2.94% 9/30/40 # | | | 189,970 | | | | 152,869 | |
| Kinder Morgan 5.20% 6/1/33 | | | 205,000 | | | | 198,758 | |
| Marathon Oil 5.20% 6/1/45 | | | 115,000 | | | | 97,486 | |
| MPLX | | | | | | | | |
| 5.00% 3/1/33 | | | 90,000 | | | | 86,245 | |
| 5.65% 3/1/53 | | | 50,000 | | | | 46,794 | |
| Occidental Petroleum 6.125% 1/1/31 | | | 110,000 | | | | 111,806 | |
| Targa Resources Partners | | | | | | | | |
| 4.00% 1/15/32 | | | 95,000 | | | | 82,250 | |
| 5.00% 1/15/28 | | | 350,000 | | | | 334,337 | |
| 6.875% 1/15/29 | | | 71,000 | | | | 72,483 | |
| | | | | | | | 3,144,822 | |
| Finance Companies — 3.93% | | | | | | | | |
| AerCap Ireland Capital DAC | | | | | | | | |
| 1.65% 10/29/24 | | | 150,000 | | | | 141,026 | |
| 3.00% 10/29/28 | | | 300,000 | | | | 259,631 | |
| 3.40% 10/29/33 | | | 150,000 | | | | 120,636 | |
| Air Lease | | | | | | | | |
| 2.20% 1/15/27 | | | 40,000 | | | | 35,502 | |
| 2.875% 1/15/32 | | | 150,000 | | | | 120,557 | |
| 4.125% 12/15/26 µ, ψ | | | 153,000 | | | | 99,759 | |
| 5.85% 12/15/27 | | | 80,000 | | | | 79,969 | |
| Aviation Capital Group | | | | | | | | |
| 144A 1.95% 1/30/26 # | | | 116,000 | | | | 103,398 | |
| 144A 1.95% 9/20/26 # | | | 300,000 | | | | 260,213 | |
| 144A 5.50% 12/15/24 # | | | 100,000 | | | | 97,935 | |
| 144A 6.25% 4/15/28 # | | | 33,000 | | | | 32,954 | |
| 144A 6.375% 7/15/30 # | | | 125,000 | | | | 124,067 | |
| | | | | | | | 1,475,647 | |
| Insurance — 5.84% | | | | | | | | |
| American International Group 5.125% 3/27/33 | | | 175,000 | | | | 171,029 | |
| Aon 5.00% 9/12/32 | | | 100,000 | | | | 98,782 | |
| Athene Global Funding | | | | | | | | |
| 144A 1.985% 8/19/28 # | | | 442,000 | | | | 355,223 | |
| 144A 2.50% 3/24/28 # | | | 110,000 | | | | 93,059 | |
| 144A 2.717% 1/7/29 # | | | 120,000 | | | | 97,883 | |
| Athene Holding 3.45% 5/15/52 | | | 125,000 | | | | 76,165 | |
| Berkshire Hathaway Finance 3.85% 3/15/52 | | | 210,000 | | | | 173,786 | |
| Brighthouse Financial 4.70% 6/22/47 | | | 39,000 | | | | 29,899 | |
| Global Atlantic 144A 4.70% 10/15/51 #, µ | | | 200,000 | | | | 142,164 | |
| Hartford Financial Services Group 2.90% 9/15/51 | | | 135,000 | | | | 87,814 | |
| Humana 5.75% 3/1/28 | | | 35,000 | | | | 35,638 | |
Schedule of investments
Delaware VIP® Trust — Delaware VIP Investment Grade Series
| | | Principal
amount | | Value (US $) |
| Corporate Bonds (continued) | | | | | | | | |
| Insurance (continued) | | | | | | | | |
| New York Life Global Funding | | | | | | | | |
| 144A 1.20% 8/7/30 # | | | 140,000 | | | $ | 108,552 | |
| 144A 4.85% 1/9/28 # | | | 150,000 | | | | 148,738 | |
| Prudential Financial 3.70% 10/1/50 µ | | | 145,000 | | | | 122,692 | |
| UnitedHealth Group | | | | | | | | |
| 4.20% 5/15/32 | | | 91,000 | | | | 86,911 | |
| 4.50% 4/15/33 | | | 230,000 | | | | 224,148 | |
| 5.05% 4/15/53 | | | 140,000 | | | | 139,259 | |
| | | | | | | | 2,191,742 | |
| Natural Gas — 1.97% | | | | | | | | |
| Sempra Energy | | | | | | | | |
| 4.125% 4/1/52 µ | | | 125,000 | | | | 101,287 | |
| 4.875% 10/15/25 µ, ψ | | | 310,000 | | | | 289,096 | |
| Southern California Gas | | | | | | | | |
| 5.20% 6/1/33 | | | 140,000 | | | | 138,224 | |
| 6.35% 11/15/52 | | | 80,000 | | | | 88,767 | |
| Spire Missouri 4.80% 2/15/33 | | | 125,000 | | | | 123,059 | |
| | | | | | | | 740,433 | |
| Real Estate Investment Trusts — 1.19% | | | | | | | | |
| Alexandria Real Estate Equities 4.75% 4/15/35 | | | 120,000 | | | | 111,483 | |
| American Homes 4 Rent 3.625% 4/15/32 | | | 70,000 | | | | 60,561 | |
| Extra Space Storage 2.35% 3/15/32 | | | 350,000 | | | | 273,943 | |
| | | | | | | | 445,987 | |
| Technology — 6.68% | | | | | | | | |
| Alphabet 2.05% 8/15/50 | | | 390,000 | | | | 244,315 | |
| Apple | | | | | | | | |
| 4.30% 5/10/33 | | | 25,000 | | | | 24,878 | |
| 4.85% 5/10/53 | | | 105,000 | | | | 107,685 | |
| Autodesk 2.40% 12/15/31 | | | 185,000 | | | | 151,498 | |
| Broadcom 144A 3.469% 4/15/34 # | | | 335,000 | | | | 274,923 | |
| CDW 3.276% 12/1/28 | | | 435,000 | | | | 378,147 | |
| CoStar Group 144A 2.80% 7/15/30 # | | | 175,000 | | | | 144,556 | |
| Entegris Escrow | | | | | | | | |
| 144A 4.75% 4/15/29 # | | | 140,000 | | | | 130,096 | |
| 144A 5.95% 6/15/30 # | | | 135,000 | | | | 129,550 | |
| Leidos 2.30% 2/15/31 | | | 72,000 | | | | 56,779 | |
| Marvell Technology | | | | | | | | |
| 1.65% 4/15/26 | | | 210,000 | | | | 189,273 | |
| 2.45% 4/15/28 | | | 110,000 | | | | 96,117 | |
| Micron Technology 5.875% 9/15/33 | | | 190,000 | | | | 188,378 | |
| Oracle | | | | | | | | |
| 3.60% 4/1/50 | | | 123,000 | | | | 87,962 | |
| 4.65% 5/6/30 | | | 50,000 | | | | 48,341 | |
| 5.55% 2/6/53 | | | 120,000 | | | | 116,288 | |
| Sensata Technologies 144A 3.75% 2/15/31 # | | | 160,000 | | | | 137,023 | |
| | | | | | | | 2,505,809 | |
| Transportation — 2.65% | | | | | | | | |
| Air Canada 144A 3.875% 8/15/26 # | | | 205,000 | | �� | | 190,189 | |
| American Airlines 144A 5.50% 4/20/26 # | | | 195,000 | | | | 193,360 | |
| Burlington Northern Santa Fe 2.875% 6/15/52 | | | 233,000 | | | | 159,602 | |
| Delta Air Lines 144A 7.00% 5/1/25 # | | | 201,000 | | | | 205,431 | |
| ERAC USA Finance | | | | | | | | |
| 144A 4.90% 5/1/33 # | | | 75,000 | | | | 73,348 | |
| 144A 5.40% 5/1/53 # | | | 45,000 | | | | 44,961 | |
| Mileage Plus Holdings 144A 6.50% 6/20/27 # | | | 128,000 | | | | 128,435 | |
| | | | | | | | 995,326 | |
| | | | | | | | | |
Total Corporate Bonds
(cost $38,839,764) | | | | | | | 35,125,935 | |
| | | | | | | | | |
| Municipal Bonds — 0.30% | | | | | | | | |
| Commonwealth of Puerto Rico (Restructured) | | | | | | | | |
| Series A-1 2.986% 7/1/24^ | | | 2,341 | | | | 2,243 | |
| Series A-1 4.00% 7/1/35 | | | 5,110 | | | | 4,763 | |
| GDB Debt Recovery Authority of Puerto Rico Revenue (Taxable) 7.50% 8/20/40 | | | 125,865 | | | | 104,153 | |
Total Municipal Bonds
(cost $126,709) | | | | | | | 111,159 | |
| | | | | | | | | |
| Loan Agreements — 3.30% | | | | | | | | |
AmWINS Group 7.443%
(LIBOR01M + 2.25%) 2/19/28 • | | | 107,251 | | | | 106,349 | |
Applied Systems 9.742%
(SOFR03M + 4.50%) 9/18/26 • | | | 116,714 | | | | 117,006 | |
Gates Global Tranche B-3 7.702%
(SOFR01M + 2.50%) 3/31/27 • | | | 117,000 | | | | 116,539 | |
Horizon Therapeutics USA Tranche B-2 6.839%
(LIBOR01M + 1.75%) 3/15/28 • | | | 107,525 | | | | 107,376 | |
Informatica 8.00%
(LIBOR01M + 2.75%) 10/27/28 • | | | 113,563 | | | | 113,610 | |
Prime Security Services Borrower Tranche B-1 7.943%
(LIBOR01M + 2.75%) 9/23/26 • | | | 117,300 | | | | 117,367 | |
RealPage 1st Lien 8.217%
(SOFR01M + 3.11%) 4/24/28 • | | | 117,900 | | | | 115,416 | |
Reynolds Group Holdings Tranche B-2 8.467%
(SOFR01M + 3.25%) 2/5/26 • | | | 86,090 | | | | 86,144 | |
Standard Industries 7.692%
(SOFR01M + 2.50%) 9/22/28 • | | | 357,157 | | | | 357,479 | |
Total Loan Agreements
(cost $1,237,259) | | | | | | | 1,237,286 | |
| | | Principal
amount | | Value (US $) |
| US Treasury Obligations — 1.66% | | | | | | | | |
| US Treasury Bonds | | | | | | | | |
| 3.625% 2/15/53 | | | 635,000 | | | $ | 609,600 | |
| 3.875% 2/15/43 | | | 15,000 | | | | 14,630 | |
Total US Treasury Obligations
(cost $747,312) | | | | | | | 624,230 | |
| | | | | | | | | |
| | | | Number of
shares | | | | |
| Short-Term Investments — 0.69% | | | | | | | | |
| Money Market Mutual Funds — 0.69% | | | | | | | | |
| BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | | | 64,979 | | | | 64,979 | |
| Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | | | 64,978 | | | | 64,978 | |
| Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | | | 64,978 | | | | 64,978 | |
| Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | | | 64,979 | | | | 64,979 | |
Total Short-Term Investments
(cost $259,914) | | | | | | | 259,914 | |
Total Value of Securities—99.78%
(cost $41,306,330) | | | | | | $ | 37,447,031 | |
| | |
| ° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
| # | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2023, the aggregate value of Rule 144A securities was $6,923,573, which represents 18.45% of the Series’ net assets. See Note 7 in “Notes to financial statements.” |
| • | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
| µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2023. Rate will reset at a future date. |
| ψ | Perpetual security. Maturity date represents next call date. |
| ‡ | Non-income producing security. Security is currently in default. |
| ^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
Summary of abbreviations:
DAC – Designated Activity Company
ICE – Intercontinental Exchange, Inc.
LIBOR – London Interbank Offered Rate
LIBOR01M – ICE LIBOR USD 1 Month
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
REMIC – Real Estate Mortgage Investment Conduit
SOFR – Secured Overnight Financing Rate
SOFR01M – Secured Overnight Financing Rate 1 Month
SOFR03M – Secured Overnight Financing Rate 3 Month
USD – US Dollar
See accompanying notes, which are an integral part of the financial statements.
Statement of assets and liabilities
| Delaware VIP® Trust — Delaware VIP Investment Grade Series | June 30, 2023 (Unaudited) |
| Assets: | | | | |
| Investments, at value* | | $ | 37,447,031 | |
| Cash | | | 2,600 | |
| Dividends and interest receivable | | | 424,817 | |
| Receivable for securities sold | | | 36,197 | |
| Receivable for series shares sold | | | 5,398 | |
| Other assets | | | 366 | |
| Total Assets | | | 37,916,409 | |
| Liabilities: | | | | |
| Payable for securities purchased | | | 278,855 | |
| Other accrued expenses | | | 92,451 | |
| Administration expenses payable to affiliates | | | 7,582 | |
| Investment management fees payable to affiliates | | | 4,838 | |
| Payable for series shares redeemed | | | 2,394 | |
| Distribution fees payable to affiliates | | | 2 | |
| Total Liabilities | | | 386,122 | |
| Total Net Assets | | $ | 37,530,287 | |
| | | | | |
| Net Assets Consist of: | | | | |
| Paid-in capital | | $ | 46,849,269 | |
| Total distributable earnings (loss) | | | (9,318,982 | ) |
| Total Net Assets | | $ | 37,530,287 | |
| | | | | |
| Net Asset Value | | | | |
| Standard Class: | | | | |
| Net assets | | $ | 37,520,911 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 4,491,996 | |
| Net asset value per share | | $ | 8.35 | |
| Service Class: | | | | |
| Net assets | | $ | 9,376 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 1,124 | |
| Net asset value per share | | $ | 8.34 | |
| | | | |
| *Investments, at cost | | $ | 41,306,330 | |
See accompanying notes, which are an integral part of the financial statements.
Statement of operations
| Delaware VIP® Trust — Delaware VIP Investment Grade Series | Six months ended June 30, 2023 (Unaudited) |
| Investment Income: | | | | |
| Interest | | $ | 939,276 | |
| Dividends | | | 20,455 | |
| | | | 959,731 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 96,263 | |
| Distribution expenses — Service Class | | | 14 | |
| Audit and tax fees | | | 22,571 | |
| Accounting and administration expenses | | | 21,641 | |
| Dividend disbursing and transfer agent fees and expenses | | | 10,931 | |
| Reports and statements to shareholders expenses | | | 8,074 | |
| Trustees’ fees and expenses | | | 1,443 | |
| Custodian fees | | | 1,133 | |
| Legal fees | | | 1,034 | |
| Other | | | 21,567 | |
| | | | 184,671 | |
| Less expenses waived | | | (63,315 | ) |
| Total operating expenses | | | 121,356 | |
| Net Investment Income (Loss) | | | 838,375 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on investments | | | (1,318,623 | ) |
| Net change in unrealized appreciation (depreciation) on investments | | | 1,423,154 | |
| Net Realized and Unrealized Gain (Loss) | | | 104,531 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 942,906 | |
See accompanying notes, which are an integral part of the financial statements.
Statements of changes in net assets
Delaware VIP® Trust — Delaware VIP Investment Grade Series
| | | Six months
ended
6/30/23
(Unaudited) | | | Year ended
12/31/22 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 838,375 | | | $ | 1,517,994 | |
| Net realized gain (loss) | | | (1,318,623 | ) | | | (4,542,031 | ) |
| Net change in unrealized appreciation (depreciation) | | | 1,423,154 | | | | (5,889,270 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 942,906 | | | | (8,913,307 | ) |
| | | | | | | | | |
| Dividends and Distributions to Shareholders from: | | | | | | | | |
| Distributable earnings: | | | | | | | | |
| Standard Class | | | (1,579,676 | ) | | | (2,333,366 | ) |
| Service Class | | | (356 | ) | | | (463 | ) |
| | | | (1,580,032 | ) | | | (2,333,829 | ) |
| | | | | | | | | |
| Capital Share Transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Standard Class | | | 1,313,496 | | | | 1,215,669 | |
| | | | | | | | | |
| Net asset value of shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 1,579,676 | | | | 2,333,366 | |
| Service Class | | | 356 | | | | 463 | |
| | | | 2,893,528 | | | | 3,549,498 | |
| Cost of shares redeemed: | | | | | | | | |
| Standard Class | | | (3,978,280 | ) | | | (7,130,506 | ) |
| Decrease in net assets derived from capital share transactions | | | (1,084,752 | ) | | | (3,581,008 | ) |
| Net Decrease in Net Assets | | | (1,721,878 | ) | | | (14,828,144 | ) |
| | | | | | | | | |
| Net Assets: | | | | | | | | |
| Beginning of period | | | 39,252,165 | | | | 54,080,309 | |
| End of period | | $ | 37,530,287 | | | $ | 39,252,165 | |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Delaware VIP® Investment Grade Series Standard Class
Selected data for each share of the Series outstanding throughout each period were as follows:
| | | Six months
ended
6/30/231 | | | Year ended |
| | | (Unaudited) | | | 12/31/22 | | | 12/31/21 | | | 12/31/20 | | | 12/31/192 | | | 12/31/18 | |
| Net asset value, beginning of period | | $ | 8.50 | | | $ | 10.80 | | | $ | 11.60 | | | $ | 11.02 | | | $ | 10.18 | | | $ | 10.80 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income3 | | | 0.19 | | | | 0.31 | | | | 0.27 | | | | 0.26 | | | | 0.29 | | | | 0.31 | |
| Net realized and unrealized gain (loss) | | | 0.02 | | | | (2.13 | ) | | | (0.37 | ) | | | 0.98 | | | | 0.95 | | | | (0.53 | ) |
| Total from investment operations | | | 0.21 | | | | (1.82 | ) | | | (0.10 | ) | | | 1.24 | | | | 1.24 | | | | (0.22 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.36 | ) | | | (0.34 | ) | | | (0.34 | ) | | | (0.41 | ) | | | (0.40 | ) | | | (0.40 | ) |
| Net realized gain | | | — | | | | (0.14 | ) | | | (0.36 | ) | | | (0.25 | ) | | | — | | | | — | |
| Total dividends and distributions | | | (0.36 | ) | | | (0.48 | ) | | | (0.70 | ) | | | (0.66 | ) | | | (0.40 | ) | | | (0.40 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 8.35 | | | $ | 8.50 | | | $ | 10.80 | | | $ | 11.60 | | | $ | 11.02 | | | $ | 10.18 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total return4 | | | 2.41 | % | | | (17.06 | )% | | | (0.72 | )% | | | 11.91 | % | | | 12.62 | % | | | (2.03 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | | $ | 37,521 | | | $ | 39,243 | | | $ | 54,069 | | | $ | 60,080 | | | $ | 61,952 | | | $ | 61,630 | |
| Ratio of expenses to average net assets5 | | | 0.63 | % | | | 0.63 | % | | | 0.65 | % | | | 0.69 | % | | | 0.73 | % | | | 0.70 | % |
| Ratio of expenses to average net assets prior to fees waived5 | | | 0.96 | % | | | 0.87 | % | | | 0.74 | % | | | 0.81 | % | | | 0.90 | % | | | 0.85 | % |
| Ratio of net investment income to average net assets | | | 4.35 | % | | | 3.44 | % | | | 2.45 | % | | | 2.39 | % | | | 2.76 | % | | | 3.05 | % |
| Ratio of net investment income to average net assets prior to fees waived | | | 4.02 | % | | | 3.20 | % | | | 2.36 | % | | | 2.27 | % | | | 2.59 | % | | | 2.90 | % |
| Portfolio turnover | | | 53 | % | | | 99 | % | | | 110 | % | | | 147 | % | | | 157 | %6 | | | 53 | % |
| | |
| 1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2 | On October 4, 2019, the First Investors Life Series Investment Grade Fund shares were reorganized into Standard Class shares of the Series. The Standard Class shares financial highlights for the period prior to October 4, 2019, reflect the performance of the First Investors Life Series Investment Grade Fund shares. |
| 3 | Calculated using average shares outstanding. |
| 4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during the period shown reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 5 | Expense ratios do not include expenses of any investment companies in which the Series invests. |
| 6 | The Series’ portfolio turnover rate increased substantially during the year ended December 31, 2019 due to a change in the Series’ portfolio managers and associated repositioning. |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Delaware VIP® Investment Grade Series Service Class
Selected data for each share of the Series outstanding throughout each period were as follows:
| | | Six months
ended
6/30/232 | | Year ended | | 10/31/191
to |
| | | (Unaudited) | | 12/31/22 | | 12/31/21 | | 12/31/20 | | 12/31/19 |
| Net asset value, beginning of period | | $ | 8.47 | | | $ | 10.76 | | | $ | 11.56 | | | $ | 11.01 | | | $ | 10.97 | |
| | | | | | | | | | | | | | | | | | | | | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income3 | | | 0.17 | | | | 0.29 | | | | 0.23 | | | | 0.23 | | | | 0.03 | |
| Net realized and unrealized gain (loss) | | | 0.03 | | | | (2.13 | ) | | | (0.36 | ) | | | 0.97 | | | | 0.01 | |
| Total from investment operations | | | 0.20 | | | | (1.84 | ) | | | (0.13 | ) | | | 1.20 | | | | 0.04 | |
| | | | | | | | | | | | | | | | | | | | | |
| Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.33 | ) | | | (0.31 | ) | | | (0.31 | ) | | | (0.40 | ) | | | — | |
| Net realized gain | | | — | | | | (0.14 | ) | | | (0.36 | ) | | | (0.25 | ) | | | — | |
| Total dividends and distributions | | | (0.33 | ) | | | (0.45 | ) | | | (0.67 | ) | | | (0.65 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 8.34 | | | $ | 8.47 | | | $ | 10.76 | | | $ | 11.56 | | | $ | 11.01 | |
| | | | | | | | | | | | | | | | | | | | | |
| Total return4 | | | 2.34 | % | | | (17.32 | )% | | | (1.03 | )% | | | 11.57 | % | | | 0.37 | % |
| | | | | | | | | | | | | | | | | | | | | |
| Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | | $ | 9 | | | $ | 9 | | | $ | 11 | | | $ | 11 | | | $ | 10 | |
| Ratio of expenses to average net assets5 | | | 0.93 | % | | | 0.93 | % | | | 0.95 | % | | | 0.99 | % | | | 0.99 | % |
| Ratio of expenses to average net assets prior to fees waived5 | | | 1.25 | % | | | 1.15 | % | | | 1.04 | % | | | 1.11 | % | | | 1.31 | % |
| Ratio of net investment income to average net assets | | | 4.06 | % | | | 3.16 | % | | | 2.15 | % | | | 2.09 | % | | | 1.50 | % |
| Ratio of net investment income to average net assets prior to fees waived | | | 3.74 | % | | | 2.94 | % | | | 2.06 | % | | | 1.97 | % | | | 1.18 | % |
| Portfolio turnover | | | 53 | % | | | 99 | % | | | 110 | % | | | 147 | % | | | 157 | %6,7 |
| | |
| 1 | Date of commencement of operations; ratios have been annualized and total return has not been annualized. |
| 2 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 3 | Calculated using average shares outstanding. |
| 4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during the period shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 5 | Expense ratios do not include expenses of any investment companies in which the Series invests. |
| 6 | Portfolio turnover is representative of the Series for the entire period. |
| 7 | The Series’ portfolio turnover rate increased substantially during the year ended December 31, 2019 due to a change in the Series’ portfolio managers and associated repositioning. |
See accompanying notes, which are an integral part of the financial statements.
Notes to financial statements
| Delaware VIP® Trust — Delaware VIP Investment Grade Series | June 30, 2023 (Unaudited) |
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust. The Trust consists of 10 series, each of which is treated as a separate entity for certain matters under the Investment Company Act of 1940, as amended (1940 Act). These financial statements and the related notes pertain to Delaware VIP Investment Grade Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the 1940 Act and offers Standard Class and Service Class shares. The Standard Class shares do not carry a distribution and service (12b-1) fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
1. Significant Accounting Policies
The Series follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Series.
Security Valuation — Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and the ask prices will be used, which approximates fair value. Debt securities are valued based upon valuations provided by an independent pricing service or broker and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. US government and agency securities are valued at the mean between the bid and the ask prices, which approximates fair value. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations (CMOs), commercial mortgage securities, and US government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Open-end investment companies, other than ETFs, are valued at their published net asset value (NAV). Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by the Series’ valuation designee, Delaware Management Company (DMC). Subject to the oversight of the Trust’s Board of Trustees (Board), DMC, as valuation designee, has adopted policies and procedures to fair value securities for which market quotations are not readily available consistent with the requirements of Rule 2a-5 under the 1940 Act. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Restricted securities and private placements are valued at fair value.
Federal Income Taxes — No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken or expected to be taken on the Series’ federal income tax returns through the six months ended June 30, 2023, and for all open tax years (years ended December 31, 2019–December 31, 2022), and has concluded that no provision for federal income tax is required in the Series’ financial statements. If applicable, the Series recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statement of operations.” During the six months ended June 30, 2023, the Series did not incur any interest or tax penalties.
Class Accounting — Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Investment Grade Series
1. Significant Accounting Policies (continued)
Other — Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Income and capital gain distributions from any Underlying Funds in which the Series invests are recorded on the ex-dividend date. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-backed securities are classified as interest income. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, at least annually. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expenses paid under this arrangement are included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.” For the six months ended June 30, 2023, the Series earned less than $1 under this arrangement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays DMC, a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly at the rates of 0.50% on the first $500 million of average daily net assets of the Series, 0.475% on the next $500 million, 0.45% on the next $1.5 billion, and 0.425% on average daily net assets in excess of $2.5 billion.
DMC has contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding any 12b-1 fees, acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations), in order to prevent total annual series operating expenses from exceeding 0.63% of the Series’ average daily net assets for the Standard Class and the Service Class from January 1, 2023 through June 30, 2023.* These waivers and reimbursements may only be terminated by agreement of DMC and the Series. The waivers and reimbursements are accrued daily and received monthly.
DMC may seek investment advice and recommendations from its affiliates: Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Global Limited (together, the “Affiliated Sub-Advisors”). DMC may also permit these Affiliated Sub-Advisors to execute Series security trades on behalf of DMC and exercise investment discretion for securities in certain markets where DMC believes it will be beneficial to utilize an Affiliated Sub-Advisor’s specialized market knowledge. Although the Affiliated Sub-Advisors serve as sub-advisors, DMC has ultimate responsibility for all investment advisory services. For these services, DMC, not the Series, pays each Affiliated Sub-Advisor a portion of its investment management fee.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; 0.0025% of the next $45 billion; and 0.0015% of aggregate average daily net assets in excess of $90 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the six months ended June 30, 2023, the Series paid $2,571 for these services.
DIFSC is also the transfer agent and dividend disbursing agent of the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Series’ average daily net assets. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended June 30, 2023, the Series paid $1,487 for these services. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are paid by the Series and are also included on the
“Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees that are calculated daily and paid as invoices are received on a monthly or quarterly basis.
Pursuant to a distribution agreement and distribution plan, the Series pays Delaware Distributors, L.P. (DDLP), the distributor and an affiliate of DMC, an annual 12b-1 fee of 0.30% of the average daily net assets of the Service Class shares. The fees are calculated daily and paid monthly. Standard Class shares do not pay 12b-1 fees.
As provided in the investment management agreement, the Series bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to the Series. For the six months ended June 30, 2023, the Series paid $414 for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
In addition to the management fees and other expenses of the Series, the Series indirectly bears the investment management fees and other expenses of any Underlying Funds including ETFs in which it invests. The amount of these fees and expenses incurred indirectly by the Series will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
| * | The aggregate contractual waiver period covering this report is from April 29, 2022 through April 30, 2024. |
3. Investments
For the six months ended June 30, 2023, the Series made purchases and sales of investment securities other than short-term investments as follows:
| Purchases other than US government securities | | $ | 18,371,775 | |
| Purchases of US government securities | | | 2,166,706 | |
| Sales other than US government securities | | | 18,158,182 | |
| Sales of US government securities | | | 1,818,398 | |
At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for the Series were as follows:
| Cost of investments | | $ | 41,386,343 | |
| Aggregate unrealized appreciation of investments | | $ | 101,890 | |
| Aggregate unrealized depreciation of investments | | | (4,041,202 | ) |
| Net unrealized depreciation of investments | | $ | (3,939,312 | ) |
At December 31, 2022, capital loss carryforwards available to offset future realized capital gains were as follows:
| Loss carryforward character | | | | |
| Short-term | | | Long-term | | | Total | |
| $ | 2,603,525 | | | $ | 2,148,629 | | | $ | 4,752,154 | |
US GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Investment Grade Series
3. Investments (continued)
market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
| Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
| | |
| Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
| | |
| Level 3 – | Significant unobservable inputs, including the Series’ own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2023:
| | | Level 1 | | | Level 2 | | | Total | |
| Securities | | | | | | | | | | | | |
| Assets: | | | | | | | | | | | | |
| Agency Collateralized Mortgage Obligations | | $ | — | | | $ | 32,410 | | | $ | 32,410 | |
| Convertible Bond | | | — | | | | 56,097 | | | | 56,097 | |
| Corporate Bonds | | | — | | | | 35,125,935 | | | | 35,125,935 | |
| Loan Agreements | | | — | | | | 1,237,286 | | | | 1,237,286 | |
| Municipal Bonds | | | — | | | | 111,159 | | | | 111,159 | |
| US Treasury Obligations | | | — | | | | 624,230 | | | | 624,230 | |
| Short-Term Investments | | | 259,914 | | | | — | | | | 259,914 | |
| Total Value of Securities | | $ | 259,914 | | | $ | 37,187,117 | | | $ | 37,447,031 | |
During the six months ended June 30, 2023, there were no transfers into or out of Level 3 investments. The Series’ policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning or end of the period in relation to the Series’ net assets. During the six months ended June 30, 2023, there were no Level 3 investments.
4. Capital Shares
Transactions in capital shares were as follows:
| | | Six months
ended
6/30/23 | | | Year ended
12/31/22 | |
| Shares sold: | | | | | | | | |
| Standard Class | | | 152,455 | | | | 133,584 | |
| Shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 188,731 | | | | 260,420 | |
| Service Class | | | 42 | | | | 52 | |
| | | | 341,228 | | | | 394,056 | |
| Shares redeemed: | | | | | | | | |
| Standard Class | | | (464,866 | ) | | | (786,899 | ) |
| Net decrease | | | (123,638 | ) | | | (392,843 | ) |
5. Line of Credit
The Series, along with certain other funds in the Delaware Funds (Participants), is a participant in a $355,000,000 revolving line of credit (Agreement) intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the Agreement, the Participants are charged an annual commitment fee of 0.15%, which is allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants are permitted to borrow up to a maximum of one-third of their net assets under the Agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the Agreement expires on October 30, 2023.
The Series had no amounts outstanding as of June 30, 2023, or at any time during the period then ended.
6. Securities Lending
The Series, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by the Series is generally invested in an individual separate account. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Investment Grade Series
6. Securities Lending (continued)
other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. The Series can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Series may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of the Series’ cash collateral account may be less than the amount the Series would be required to return to the borrowers of the securities and the Series would be required to make up for this shortfall.
At June 30, 2023, the Series had no securities out on loan.
7. Credit and Market Risk
The global outbreak of COVID-19 resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the outbreak, its full economic impact and ongoing effects at the macro-level and on individual businesses are unpredictable and may result in significant and prolonged effects on a Series’ performance.
When interest rates rise, fixed income securities (i.e. debt obligations) generally will decline in value. These declines in value are greater for fixed income securities with longer maturities or durations. Interest rate changes are influenced by a number of factors, such as government policy, monetary policy, inflation expectations, and the supply and demand of bonds. A series may be subject to a greater risk of rising interest rates when interest rates are low or inflation rates are high or rising.
IBOR is the risk that changes related to the use of the London interbank offered rate (LIBOR) and other interbank offered rate (collectively, IBORs) could have adverse impacts on financial instruments that reference LIBOR (or the corresponding IBOR). The abandonment of LIBOR could affect the value and liquidity of instruments that reference LIBOR. The use of alternative reference rate products may impact investment strategy performance. These risks may also apply with respect to changes in connection with other IBORs, such as the euro overnight index average (EONIA), which are also the subject of recent reform.
The Series invests in high yield fixed income securities, which are securities rated lower than BBB- by Standard & Poor’s Financial Services LLC and Baa3 by Moody’s Investors Service, Inc. or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
The Series invests in bank loans and other securities that may subject it to direct indebtedness risk, the risk that the Series will not receive payment of principal, interest, and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Series more protection than unsecured loans in the event of nonpayment of scheduled
interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Series may involve revolving credit facilities or other standby financing commitments that obligate the Series to pay additional cash on a certain date or on demand. These commitments may require the Series to increase its investment in a company at a time when the Series might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that the Series is committed to advance additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments. When a loan agreement is purchased, the Series may pay an assignment fee. On an ongoing basis, the Series may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by the borrower. Prepayment penalty, facility, commitment, consent, and amendment fees are recorded to income as earned or paid.
As the Series may be required to rely upon another lending institution to collect and pass on to the Series amounts payable with respect to the loan and to enforce the Series’ rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Series from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Series.
The Series invests in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the underlying mortgages and consumer loans are paid back. Some of these securities are CMOs. CMOs are debt securities issued by US government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on the Series’ yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Series may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
The Series invests in certain obligations that may have liquidity protection designed to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies, or letters of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction, or through a combination of such approaches. The Series will not pay any additional fees for such credit support, although the existence of credit support may increase the price of the security.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. Rule 144A securities have been identified on the “Schedule of investments.”
8. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
9. Recent Accounting Pronouncements
In March 2020, FASB issued an Accounting Standards Update (ASU), ASU 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provide optional temporary financial reporting relief
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Investment Grade Series
9. Recent Accounting Pronouncements (continued)
from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023.On December 21, 2022, FASB issued ASU 2022-06 to defer the sunset date of Accounting Standards Codification Topic 848 until December 31, 2024. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2024. Management is currently evaluating ASU 2020-04 and ASU 2022-06, but does not believe there will be a material impact.
10. New Regulatory Pronouncement
In October 2022, the Securities and Exchange Commission (SEC) adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
11. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in the Series’ financial statements.
Other Series information (Unaudited)
Delaware VIP® Trust — Delaware VIP Investment Grade Series
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end funds (other than money market funds) to adopt and implement a program reasonably designed to assess and manage the fund’s “liquidity risk,” defined as the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund.
The Series has adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Series in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of the Series’ liquidity risk; (2) classification of each of the Series’ portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Series’ net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting the Series’ acquisition of Illiquid investments if, immediately after the acquisition, the Series would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if the Series’ holdings of Illiquid assets exceed 15% of the Series’ net assets. Series with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing the Series’ liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) the Series’ investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Series during both normal and reasonably foreseeable stressed conditions; and (3) the Series’ holdings of cash and cash equivalents and any borrowing arrangements. Classification of the Series’ portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. The Series primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 23-25, 2023, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2022 through March 31, 2023. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and the Series’ liquidity needs. The Series’ HLIM is set at an appropriate level and the Series complied with its HLIM at all times during the reporting period.
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. The Series’ Form N-PORT, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities, is available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-PORT are available without charge on the Series’ website at delawarefunds.com/vip/literature.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Series’ website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(3031246)
SA-VIPIG-0823
Semiannual report
Delaware VIP® Trust
Delaware VIP Limited Duration Bond Series
June 30, 2023
Table of contents
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 (“Macquarie Bank”), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Series is governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2023, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
The Series is distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
This material may be used in conjunction with the offering of shares in Delaware VIP® Limited Duration Bond Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2023 Macquarie Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Disclosure of Series expenses
For the six-month period from January 1, 2023 to June 30, 2023 (Unaudited)
The investment objective of the Series is to seek current income consistent with low volatility of principal.
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2023 to June 30, 2023.
Actual expenses
The first section of the table shown, “Actual Series return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ expenses shown in the table reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
| | | Beginning
Account
Value
1/1/23 | | Ending
Account
Value
6/30/23 | | Annualized
Expense
Ratio | | Expenses
Paid
During
Period
1/1/23 to
6/30/23* |
| Actual Series return† | | | | | | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,015.90 | | | 0.53% | | $ | 2.65 | |
| Hypothetical 5% return (5% return before expenses) | | | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,022.17 | | | 0.53% | | $ | 2.66 | |
| | |
| * | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| † | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Series’ expenses reflected above, the Series also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds) in which it invests. The table above does not reflect the expenses of any Underlying Funds.
Security type / sector allocations
| Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund’s sector designations.
| Security type / sector | | Percentage
of net assets |
| Agency Collateralized Mortgage Obligations | | 1.13 | % |
| Agency Mortgage-Backed Securities | | 4.28 | % |
| Collateralized Debt Obligations | | 9.32 | % |
| Corporate Bonds | | 50.33 | % |
| Banking | | 12.76 | % |
| Basic Industry | | 1.39 | % |
| Capital Goods | | 3.10 | % |
| Communications | | 2.96 | % |
| Consumer Cyclical | | 1.57 | % |
| Consumer Non-Cyclical | | 4.07 | % |
| Electric | | 6.32 | % |
| Energy | | 3.90 | % |
| Finance Companies | | 3.23 | % |
| Insurance | | 5.62 | % |
| Natural Gas | | 0.37 | % |
| Technology | | 2.64 | % |
| Transportation | | 2.40 | % |
| Non-Agency Asset-Backed Securities | | 9.71 | % |
| US Treasury Obligations | | 22.79 | % |
| Short-Term Investments | | 4.78 | % |
| Total Value of Securities | | 102.34 | % |
| Liabilities Net of Receivables and Other Assets | | (2.34 | )% |
| Total Net Assets | | 100.00 | % |
Schedule of investments
| Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series | June 30, 2023 (Unaudited) |
| | | Principal
amount° | | Value (US $) |
| Agency Collateralized Mortgage Obligations — 1.13% | | | | | | | | |
| Freddie Mac REMIC Series 5092 WG 1.00% 4/25/31 | | | 228,440 | | | $ | 196,834 | |
| Freddie Mac Structured Agency Credit Risk REMIC Trust Series 2021-HQA2 M1 144A 5.767% (SOFR + 0.70%) 12/25/33 #, • | | | 24,329 | | | | 24,208 | |
Total Agency Collateralized Mortgage Obligations
(cost $254,125) | | | | | | | 221,042 | |
| | | | | | | | | |
| Agency Mortgage-Backed Securities — 4.28% | | | | | | | | |
| Fannie Mae S.F. 15 yr 2.50% 8/1/35 | | | 59,683 | | | | 54,480 | |
| Fannie Mae S.F. 30 yr | | | | | | | | |
| 4.50% 1/1/50 | | | 355,289 | | | | 350,858 | |
| 5.00% 7/1/47 | | | 260,585 | | | | 262,446 | |
| 5.00% 5/1/48 | | | 96,547 | | | | 96,459 | |
| Freddie Mac S.F. 30 yr 5.00% 8/1/48 | | | 73,580 | | | | 73,386 | |
Total Agency Mortgage-Backed Securities
(cost $761,671) | | | | | | | 837,629 | |
| | | | | | | | | |
| Collateralized Debt Obligations — 9.32% | | | | | | | | |
| ARES LX CLO Series 2021-60A A 144A 6.382% (LIBOR03M + 1.12%, Floor 1.12%) 7/18/34 #, • | | | 250,000 | | | | 243,685 | |
| Canyon Capital CLO Series 2019-2AAR 144A 6.44% (LIBOR03M + 1.18%, Floor 1.18%) 10/15/34 #, • | | | 250,000 | | | | 244,723 | |
| Cedar Funding IX CLO Series 2018-9A A1 144A 6.23% (LIBOR03M + 0.98%, Floor 0.98%) 4/20/31 #, • | | | 250,000 | | | | 247,596 | |
| CIFC Funding Series 2013-4A A1RR 144A 6.352% (LIBOR03M + 1.06%, Floor 1.06%) 4/27/31 #, • | | | 250,000 | | | | 246,817 | |
| Dryden 83 CLO Series 2020-83A A 144A 6.482% (LIBOR03M + 1.22%, Floor 1.22%) 1/18/32 #, • | | | 250,000 | | | | 247,250 | |
| KKR CLO 32 Series 32A A1 144A 6.58% (LIBOR03M + 1.32%, Floor 1.32%) 1/15/32 #, • | | | 100,000 | | | | 99,041 | |
| LCM XVIII Series 18A A1R 144A 6.27% (LIBOR03M + 1.02%) 4/20/31 #, • | | | 250,000 | | | | 247,327 | |
| Octagon Investment Partners 33 Series 2017-1A A1 144A 6.44% (LIBOR03M + 1.19%) 1/20/31 #, • | | | 250,000 | | | | 248,109 | |
Total Collateralized Debt Obligations
(cost $1,841,487) | | | | | | | 1,824,548 | |
| | | | | | | | | |
| Corporate Bonds — 50.33% | | | | | | | | |
| Banking — 12.76% | | | | | | | | |
| Bank of America | | | | | | | | |
| 1.843% 2/4/25 µ | | | 100,000 | | | | 97,444 | |
| 4.10% 7/24/23 | | | 130,000 | | | | 129,907 | |
| 6.204% 11/10/28 µ | | | 5,000 | | | | 5,143 | |
| Bank of New York Mellon 5.802% 10/25/28 µ | | | 38,000 | | | | 38,758 | |
| BBVA Bancomer 144A 1.875% 9/18/25 # | | | 200,000 | | | | 184,150 | |
| Citigroup | | | | | | | | |
| 1.281% 11/3/25 µ | | | 35,000 | | | | 32,804 | |
| 2.014% 1/25/26 µ | | | 30,000 | | | | 28,199 | |
| 5.61% 9/29/26 µ | | | 20,000 | | | | 19,983 | |
| DAE Sukuk DIFC 144A 3.75% 2/15/26 # | | | 200,000 | | | | 190,336 | |
| Deutsche Bank 0.898% 5/28/24 | | | 150,000 | | | | 142,577 | |
| Fifth Third Bancorp | | | | | | | | |
| 2.375% 1/28/25 | | | 35,000 | | | | 32,773 | |
| 3.65% 1/25/24 | | | 35,000 | | | | 34,508 | |
| Goldman Sachs Group | | | | | | | | |
| 0.925% 10/21/24 µ | | | 175,000 | | | | 172,061 | |
| 1.542% 9/10/27 µ | | | 25,000 | | | | 21,989 | |
| JPMorgan Chase & Co. 4.023% 12/5/24 µ | | | 200,000 | | | | 198,303 | |
| KeyCorp 3.878% 5/23/25 µ | | | 45,000 | | | | 41,628 | |
| Morgan Stanley | | | | | | | | |
| 6.138% 10/16/26 µ | | | 300,000 | | | | 303,149 | |
| 6.296% 10/18/28 µ | | | 49,000 | | | | 50,395 | |
| PNC Bank 3.875% 4/10/25 | | | 250,000 | | | | 238,807 | |
| PNC Financial Services Group 5.671% 10/28/25 µ | | | 35,000 | | | | 34,726 | |
| Popular 7.25% 3/13/28 | | | 20,000 | | | | 20,000 | |
| Toronto-Dominion Bank 4.108% 6/8/27 | | | 34,000 | | | | 32,530 | |
| Truist Bank 2.636% 9/17/29 µ | | | 215,000 | | | | 198,550 | |
| US Bancorp | | | | | | | | |
| 3.375% 2/5/24 | | | 55,000 | | | | 54,214 | |
| 4.653% 2/1/29 µ | | | 13,000 | | | | 12,430 | |
| 5.727% 10/21/26 µ | | | 21,000 | | | | 20,997 | |
| Wells Fargo & Co. 3.908% 4/25/26 µ | | | 165,000 | | | | 159,607 | |
| | | | | | | | 2,495,968 | |
Schedule of investments
Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series
| | | Principal
amount° | | Value (US $) |
| Corporate Bonds (continued) | | | | | | | | |
| Basic Industry — 1.39% | | | | | | | | |
| Avient 144A 5.75% 5/15/25 # | | | 139,000 | | | $ | 137,438 | |
| Celanese US Holdings | | | | | | | | |
| 6.05% 3/15/25 | | | 15,000 | | | | 14,946 | |
| 6.165% 7/15/27 | | | 30,000 | | | | 29,866 | |
| Nutrien 5.95% 11/7/25 | | | 90,000 | | | | 90,579 | |
| | | | | | | | 272,829 | |
| Capital Goods — 3.10% | | | | | | | | |
| Mauser Packaging Solutions | | | | | | | | |
| Holding 144A 7.875% 8/15/26 # | | | 100,000 | | | | 99,459 | |
| Parker-Hannifin | | | | | | | | |
| 3.65% 6/15/24 | | | 95,000 | | | | 93,117 | |
| 4.25% 9/15/27 | | | 70,000 | | | | 67,929 | |
| Teledyne Technologies 0.95% 4/1/24 | | | 280,000 | | | | 269,724 | |
| TransDigm 144A 6.25% 3/15/26 # | | | 25,000 | | | | 24,901 | |
| WESCO Distribution 144A 7.125% 6/15/25 # | | | 51,000 | | | | 51,583 | |
| | | | | | | | 606,713 | |
| Communications — 2.96% | | | | | | | | |
| AMC Networks 5.00% 4/1/24 | | | 30,000 | | | | 29,562 | |
| NBN 144A 0.875% 10/8/24 # | | | 200,000 | | | | 187,643 | |
| T-Mobile USA 3.75% 4/15/27 | | | 105,000 | | | | 99,444 | |
| Verizon Communications 0.75% 3/22/24 | | | 120,000 | | | | 115,844 | |
| Warnermedia Holdings | | | | | | | | |
| 3.638% 3/15/25 | | | 110,000 | | | | 106,158 | |
| 6.412% 3/15/26 | | | 40,000 | | | | 40,042 | |
| | | | | | | | 578,693 | |
| Consumer Cyclical — 1.57% | | | | | | | | |
| Aptiv 2.396% 2/18/25 | | | 70,000 | | | | 66,468 | |
| Carnival 144A 7.625% 3/1/26 # | | | 31,000 | | | | 30,390 | |
| MGM Resorts International 5.75% 6/15/25 | | | 120,000 | | | | 119,039 | |
| Prime Security Services Borrower 144A 5.25% 4/15/24 # | | | 54,000 | | | | 53,603 | |
| VICI Properties 4.95% 2/15/30 | | | 40,000 | | | | 37,560 | |
| | | | | | | | 307,060 | |
| Consumer Non-Cyclical — 4.07% | | | | | | | | |
| AbbVie | | | | | | | | |
| 2.60% 11/21/24 | | | 90,000 | | | | 86,396 | |
| 3.75% 11/14/23 | | | 165,000 | | | | 163,858 | |
| Amgen 5.15% 3/2/28 | | | 15,000 | | | | 14,997 | |
| Astrazeneca Finance 4.875% 3/3/28 | | | 35,000 | | | | 34,997 | |
| Cigna Group 5.685% 3/15/26 | | | 60,000 | | | | 60,084 | |
| Eli Lilly & Co. 5.00% 2/27/26 | | | 25,000 | | | | 25,024 | |
| Gilead Sciences 3.70% 4/1/24 | | | 80,000 | | | | 78,866 | |
| HCA 5.20% 6/1/28 | | | 20,000 | | | | 19,851 | |
| Medtronic Global Holdings 4.25% 3/30/28 | | | 40,000 | | | | 39,067 | |
| Pfizer Investment Enterprises 4.45% 5/19/28 | | | 40,000 | | | | 39,334 | |
| Royalty Pharma 1.20% 9/2/25 | | | 195,000 | | | | 175,931 | |
| Tenet Healthcare 4.875% 1/1/26 | | | 50,000 | | | | 48,750 | |
| Zoetis 5.40% 11/14/25 | | | 10,000 | | | | 10,033 | |
| | | | | | | | 797,188 | |
| Electric — 6.32% | | | | | | | | |
| Avangrid 3.20% 4/15/25 | | | 60,000 | | | | 57,084 | |
| Duke Energy 4.875% 9/16/24 µ, ψ | | | 50,000 | | | | 48,145 | |
| Duke Energy Carolinas 3.95% 11/15/28 | | | 30,000 | | | | 28,680 | |
| Entergy Louisiana 4.05% 9/1/23 | | | 10,000 | | | | 9,969 | |
| Metropolitan Edison 144A 5.20% 4/1/28 # | | | 60,000 | | | | 59,443 | |
| National Rural Utilities Cooperative Finance | | | | | | | | |
| 1.875% 2/7/25 | | | 135,000 | | | | 127,528 | |
| 4.45% 3/13/26 | | | 55,000 | | | | 54,182 | |
| 4.80% 3/15/28 | | | 40,000 | | | | 39,564 | |
| NextEra Energy Capital Holdings 6.051% 3/1/25 | | | 40,000 | | | | 40,168 | |
| NRG Energy 144A 3.75% 6/15/24 # | | | 95,000 | | | | 91,839 | |
| Pacific Gas and Electric 3.75% 2/15/24 | | | 120,000 | | | | 118,038 | |
| Southern 4.85% 6/15/28 | | | 85,000 | | | | 83,359 | |
| Southern California Edison 1.10% 4/1/24 | | | 210,000 | | | | 202,792 | |
| Vistra Operations | | | | | | | | |
| 144A 3.55% 7/15/24 # | | | 105,000 | | | | 101,437 | |
| 144A 5.125% 5/13/25 # | | | 40,000 | | | | 39,040 | |
| WEC Energy Group 0.80% 3/15/24 | | | 140,000 | | | | 135,149 | |
| | | | | | | | 1,236,417 | |
| Energy — 3.90% | | | | | | | | |
| ConocoPhillips 2.40% 3/7/25 | | | 8,000 | | | | 7,629 | |
| Devon Energy 5.25% 9/15/24 | | | 39,000 | | | | 38,700 | |
| Enbridge 0.55% 10/4/23 | | | 115,000 | | | | 113,538 | |
| Energy Transfer 5.55% 2/15/28 | | | 130,000 | | | | 129,761 | |
| Exxon Mobil 2.019% 8/16/24 | | | 130,000 | | | | 125,350 | |
| MPLX 4.875% 12/1/24 | | | 135,000 | | | | 133,106 | |
| Murphy Oil 5.75% 8/15/25 | | | 33,000 | | | | 32,625 | |
| NuStar Logistics 5.75% 10/1/25 | | | 73,000 | | | | 71,242 | |
| Occidental Petroleum 5.50% 12/1/25 | | | 58,000 | | | | 57,314 | |
| Southwestern Energy 5.70% 1/23/25 | | | 10,000 | | | | 9,956 | |
| Targa Resources Partners 5.00% 1/15/28 | | | 45,000 | | | | 42,986 | |
| | | | | | | | 762,207 | |
| | | Principal
amount° | | Value (US $) |
| Corporate Bonds (continued) | | | | | | | | |
| Finance Companies — 3.23% | | | | | | | | |
| AerCap Ireland Capital DAC | | | | | | | | |
| 1.65% 10/29/24 | | | 150,000 | | | $ | 141,026 | |
| 3.15% 2/15/24 | | | 150,000 | | | | 147,185 | |
| Air Lease | | | | | | | | |
| 0.80% 8/18/24 | | | 105,000 | | | | 98,946 | |
| 2.875% 1/15/26 | | | 15,000 | | | | 13,885 | |
| 3.00% 9/15/23 | | | 80,000 | | | | 79,523 | |
| 5.85% 12/15/27 | | | 20,000 | | | | 19,992 | |
| Aviation Capital Group | | | | | | | | |
| 144A 1.95% 1/30/26 # | | | 80,000 | | | | 71,309 | |
| 144A 4.375% 1/30/24 # | | | 60,000 | | | | 59,030 | |
| 144A 6.25% 4/15/28 # | | | 2,000 | | | | 1,997 | |
| | | | | | | | 632,893 | |
| Insurance — 5.62% | | | | | | | | |
| Athene Global Funding 144A 1.00% 4/16/24 # | | | 205,000 | | | | 195,688 | |
| Brighthouse Financial Global Funding | | | | | | | | |
| 144A 1.00% 4/12/24 # | | | 115,000 | | | | 110,626 | |
| 144A 5.78% (SOFR + 0.76%) 4/12/24 #, • | | | 85,000 | | | | 84,319 | |
| Equitable Financial Life Global Funding 144A 0.80% 8/12/24 # | | | 100,000 | | | | 94,500 | |
| GA Global Funding Trust 144A 1.00% 4/8/24 # | | | 275,000 | | | | 262,337 | |
| Humana 5.75% 3/1/28 | | | 8,000 | | | | 8,146 | |
| Met Tower Global Funding 144A 3.70% 6/13/25 # | | | 150,000 | | | | 143,927 | |
| UnitedHealth Group 4.25% 1/15/29 | | | 100,000 | | | | 97,216 | |
| USI 144A 6.875% 5/1/25 # | | | 103,000 | | | | 102,362 | |
| | | | | | | | 1,099,121 | |
| Natural Gas — 0.37% | | | | | | | | |
| Sempra Energy 3.30% 4/1/25 | | | 75,000 | | | | 71,973 | |
| | | | | | | | 71,973 | |
| Technology — 2.64% | | | | | | | | |
| NXP | | | | | | | | |
| 2.70% 5/1/25 | | | 5,000 | | | | 4,741 | |
| 4.875% 3/1/24 | | | 165,000 | | | | 163,853 | |
| Oracle 5.80% 11/10/25 | | | 45,000 | | | | 45,517 | |
| Roper Technologies 2.35% 9/15/24 | | | 145,000 | | | | 139,110 | |
| S&P Global 2.45% 3/1/27 | | | 50,000 | | | | 46,149 | |
| Sensata Technologies | | | | | | | | |
| 144A 5.00% 10/1/25 # | | | 90,000 | | | | 88,193 | |
| 144A 5.625% 11/1/24 # | | | 25,000 | | | | 24,834 | |
| Workday 3.50% 4/1/27 | | | 5,000 | | | | 4,742 | |
| | | | | | | | 517,139 | |
| Transportation — 2.40% | | | | | | | | |
| American Airlines 144A 5.50% 4/20/26 # | | | 11,320 | | | | 11,225 | |
| Canadian Pacific Railway 1.35% 12/2/24 | | | 90,000 | | | | 84,594 | |
| Delta Air Lines | | | | | | | | |
| 144A 7.00% 5/1/25 # | | | 185,000 | | | | 189,079 | |
| 7.375% 1/15/26 | | | 24,000 | | | | 25,041 | |
| ERAC USA Finance 144A 4.60% 5/1/28 # | | | 85,000 | | | | 82,644 | |
| Penske Truck Leasing 144A 4.40% 7/1/27 # | | | 45,000 | | | | 42,510 | |
| Spirit Loyalty Cayman 144A 8.00% 9/20/25 # | | | 24,000 | | | | 24,203 | |
| United Airlines 144A 4.375% 4/15/26 # | | | 10,000 | | | | 9,510 | |
| | | | | | | | 468,806 | |
Total Corporate Bonds
(cost $10,341,740) | | | | | | | 9,847,007 | |
| | | | | | | | | |
| Non-Agency Asset-Backed Securities — 9.71% | | | | | | | | |
| BA Credit Card Trust Series 2022-A2 5.00% 4/15/28 | | | 250,000 | | | | 248,747 | |
| BMW Vehicle Lease Trust Series 2023-1 A3 5.16% 11/25/25 | | | 250,000 | | | | 248,319 | |
| Discover Card Execution Note Trust Series 2022-A4 A 5.03% 10/15/27 | | | 200,000 | | | | 198,980 | |
| Enterprise Fleet Financing Series 2022-2 A2 144A 4.65% 5/21/29 # | | | 51,289 | | | | 50,493 | |
| Ford Credit Auto Owner Trust Series 2022-A B 1.91% 7/15/27 | | | 86,000 | | | | 78,770 | |
| GMF Floorplan Owner Revolving Trust Series 2023-1 A2 144A 0.00% (SOFR + 1.15%) 6/15/28 #, • | | | 250,000 | | | | 254,167 | |
| Hyundai Auto Lease Securitization Trust Series 2023-A A3 144A 5.05% 1/15/26 # | | | 200,000 | | | | 198,361 | |
| JPMorgan Chase Bank Series 2020-2 B 144A 0.84% 2/25/28 # | | | 28,067 | | | | 27,591 | |
| Tesla Auto Lease Trust Series 2021-A B 144A 1.02% 3/20/25 # | | | 235,000 | | | | 230,288 | |
| Trafigura Securitisation Finance Series 2021-1A A2 144A 1.08% 1/15/25 # | | | 200,000 | | | | 185,370 | |
| Verizon Master Trust Series 2022-2 B 1.83% 7/20/28 | | | 86,000 | | | | 80,473 | |
Schedule of investments
Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series
| | | Principal
amount° | | Value (US $) |
| Non-Agency Asset-Backed Securities (continued) | | | | | | | | |
| Volkswagen Auto Lease Trust Series 2022-A A3 3.44% 7/21/25 | | | 100,000 | | | $ | 97,942 | |
Total Non-Agency Asset-Backed Securities
(cost $1,936,148) | | | | | | | 1,899,501 | |
| | | | | | | | | |
| US Treasury Obligations — 22.79% | | | | | | | | |
| US Treasury Floating Rate Notes 5.418% (USBMMY3M + 0.17%) 4/30/25 • | | | 330,000 | | | | 330,271 | |
| US Treasury Notes | | | | | | | | |
| 3.50% 4/30/30 | | | 5,000 | | | | 4,855 | |
| 3.625% 4/30/28 | | | 80,000 | | | | 77,747 | |
| 4.00% 6/30/28 | | | 590,000 | | | | 586,820 | |
| 4.125% 6/15/26 | | | 2,815,000 | | | | 2,786,850 | |
| 4.625% 6/30/25 | | | 675,000 | | | | 671,955 | |
| | | | | | | | | |
Total US Treasury Obligations
(cost $4,474,542) | | | | | | | 4,458,498 | |
| | | | | | | | | |
| | | Number of
shares | | | | |
| Short-Term Investments — 4.78% | | | | | | | | |
| Money Market Mutual Funds — 4.78% | | | | | | | | |
| BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | | | 233,912 | | | | 233,912 | |
| Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | | | 233,912 | | | | 233,912 | |
| Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | | | 233,912 | | | | 233,912 | |
| Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | | | 233,913 | | | | 233,913 | |
Total Short-Term Investments
(cost $935,649) | | | | | | | 935,649 | |
Total Value of Securities—102.34%
(cost $20,545,362) | | | | | | $ | 20,023,874 | |
| | |
| ° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
| # | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2023, the aggregate value of Rule 144A securities was $5,644,581, which represents 28.85% of the Series’ net assets. See Note 8 in “Notes to financial statements.” |
| • | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
| µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2023. Rate will reset at a future date. |
| ψ | Perpetual security. Maturity date represents next call date. |
The following futures contracts were outstanding at June 30, 2023:1
Futures Contracts
Exchange-Traded
| Contracts to Buy (Sell) | | Notional
Amount | | | Notional
Cost
(Proceeds) | | | Expiration
Date | | Value/
Unrealized
Appreciation | | | Value/
Unrealized
Depreciation | | | Variation
Margin
Due from
(Due to)
Brokers | |
| 17 | | US Treasury 2 yr Notes | | $ | 3,456,844 | | | $ | 3,506,025 | | | 9/29/23 | | $ | — | | | $ | (49,181 | ) | | $ | (531 | ) |
| 3 | | US Treasury 5 yr Notes | | | 321,281 | | | | 327,868 | | | 9/29/23 | | | — | | | | (6,587 | ) | | | — | |
| (2) | | US Treasury 10 yr Notes | | | (224,531 | ) | | | (228,776 | ) | | 9/20/23 | | | 4,245 | | | | — | | | | (282 | ) |
| Total Futures Contracts | | | | | | $ | 3,605,117 | | | | | $ | 4,245 | | | $ | (55,768 | ) | | $ | (813 | ) |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The notional amounts presented above represent the Series’ total exposure in such contracts, whereas only the variation margin is reflected in the Series’ net assets.
| 1 | See Note 6 in “Notes to financial statements.” |
Summary of abbreviations:
CLO – Collateralized Loan Obligation
DAC – Designated Activity Company
DIFC – Dubai International Financial Centre
ICE – Intercontinental Exchange, Inc.
LIBOR – London Interbank Offered Rate
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
REMIC – Real Estate Mortgage Investment Conduit
S&P – Standard & Poor’s Financial Services LLC
S.F. – Single Family
SOFR – Secured Overnight Financing Rate
USBMMY3M – US Treasury 3 Month Bill Money Market Yield
USD – US Dollar
yr – Year
See accompanying notes, which are an integral part of the financial statements.
Statement of assets and liabilities
| Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series | June 30, 2023 (Unaudited) |
| Assets: | | | | |
| Investments, at value* | | $ | 20,023,874 | |
| Cash | | | 6,878 | |
| Cash collateral due from brokers | | | 23,122 | |
| Foreign currencies, at valueΔ | | | 222 | |
| Receivable for securities sold | | | 203,573 | |
| Dividends and interest receivable | | | 129,954 | |
| Receivable from investment manager | | | 3,716 | |
| Receivable for series shares sold | | | 2,583 | |
| Other assets | | | 173 | |
| Total Assets | | | 20,394,095 | |
| Liabilities: | | | | |
| Payable for securities purchased | | | 746,727 | |
| Other accrued expenses | | | 73,230 | |
| Administration expenses payable to affiliates | | | 6,815 | |
| Variation margin due to broker on future contracts | | | 813 | |
| Payable for series shares redeemed | | | 263 | |
| Total Liabilities | | | 827,848 | |
| Total Net Assets | | $ | 19,566,247 | |
| | | | | |
| Net Assets Consist of: | | | | |
| Paid-in capital | | $ | 23,046,324 | |
| Total distributable earnings (loss) | | | (3,480,077 | ) |
| Total Net Assets | | $ | 19,566,247 | |
| | | | | |
| Net Asset Value | | | | |
| Standard Class: | | | | |
| Net assets | | $ | 19,566,247 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 2,223,245 | |
| Net asset value per share | | $ | 8.80 | |
| | | | |
| *Investments, at cost | | $ | 20,545,362 | |
| ΔForeign currencies, at cost | | | 225 | |
See accompanying notes, which are an integral part of the financial statements.
Statement of operations
| Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series | Six months ended June 30, 2023 (Unaudited) |
| Investment Income: | | | | |
| Dividends | | $ | 9,616 | |
| Interest | | | (143,891 | ) |
| | | | (134,275 | ) |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 48,809 | |
| Audit and tax fees | | | 22,571 | |
| Accounting and administration expenses | | | 20,534 | |
| Reports and statements to shareholders expenses | | | 6,800 | |
| Dividend disbursing and transfer agent fees and expenses | | | 6,304 | |
| Custodian fees | | | 1,294 | |
| Legal fees | | | 869 | |
| Trustees’ fees and expenses | | | 729 | |
| Other | | | 14,976 | |
| | | | 122,886 | |
| Less expenses waived | | | (71,125 | ) |
| Total operating expenses | | | 51,761 | |
| Net Investment Income (Loss) | | | (186,036 | ) |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 401,885 | |
| Futures contracts | | | (8,334 | ) |
| Net realized gain (loss) | | | 393,551 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 157,431 | |
| Foreign currencies | | | 59 | |
| Futures contracts | | | (53,524 | ) |
| Net change in unrealized appreciation (depreciation) | | | 103,966 | |
| Net Realized and Unrealized Gain (Loss) | | | 497,517 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 311,481 | |
See accompanying notes, which are an integral part of the financial statements.
Statements of changes in net assets
Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series
| | | Six months
ended
6/30/23
(Unaudited) | | | Year ended
12/31/22 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
| Net investment income (loss) | | $ | (186,036 | ) | | $ | 444,933 | |
| Net realized gain (loss) | | | 393,551 | | | | (556,956 | ) |
| Net change in unrealized appreciation (depreciation) | | | 103,966 | | | | (914,291 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 311,481 | | | | (1,026,314 | ) |
| | | | | | | | | |
| Dividends and Distributions to Shareholders from: | | | | | | | | |
| Distributable earnings: | | | | | | | | |
| Standard Class | | | (516,046 | ) | | | (458,920 | ) |
| | | | | | | | | |
| Capital Share Transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Standard Class | | | 1,592,162 | | | | 461,636 | |
| | | | | | | | | |
| Net asset value of shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 516,046 | | | | 458,920 | |
| | | | 2,108,208 | | | | 920,556 | |
| Cost of shares redeemed: | | | | | | | | |
| Standard Class | | | (1,932,177 | ) | | | (5,103,617 | ) |
| Increase (decrease) in net assets derived from capital share transactions | | | 176,031 | | | | (4,183,061 | ) |
| Net Decrease in Net Assets | | | (28,534 | ) | | | (5,668,295 | ) |
| | | | | | | | | |
| Net Assets: | | | | | | | | |
| Beginning of period | | | 19,594,781 | | | | 25,263,076 | |
| End of period | | $ | 19,566,247 | | | $ | 19,594,781 | |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Delaware VIP® Limited Duration Bond Series Standard Class
Selected data for each share of the Series outstanding throughout each period were as follows:
| | | Six months
ended
6/30/231 | | | Year ended |
| | | (Unaudited) | | | 12/31/22 | | | 12/31/21 | | | 12/31/20 | | | 12/31/192 | | | 12/31/18 | |
| Net asset value, beginning of period | | $ | 8.89 | | | $ | 9.47 | | | $ | 9.74 | | | $ | 9.66 | | | $ | 9.34 | | | $ | 9.61 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income (loss)3 | | | (0.08 | ) | | | 0.18 | | | | 0.09 | | | | 0.12 | | | | 0.21 | | | | 0.05 | |
| Net realized and unrealized gain (loss) | | | 0.22 | | | | (0.57 | ) | | | (0.15 | ) | | | 0.24 | | | | 0.17 | | | | (0.07 | ) |
| Total from investment operations | | | 0.14 | | | | (0.39 | ) | | | (0.06 | ) | | | 0.36 | | | | 0.38 | | | | (0.02 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.23 | ) | | | (0.19 | ) | | | (0.21 | ) | | | (0.28 | ) | | | (0.06 | ) | | | (0.25 | ) |
| Total dividends and distributions | | | (0.23 | ) | | | (0.19 | ) | | | (0.21 | ) | | | (0.28 | ) | | | (0.06 | ) | | | (0.25 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 8.80 | | | $ | 8.89 | | | $ | 9.47 | | | $ | 9.74 | | | $ | 9.66 | | | $ | 9.34 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total return4 | | | 1.59 | % | | | (4.19 | )% | | | (0.68 | )% | | | 3.79 | % | | | 4.09 | % | | | (0.22 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | | $ | 19,566 | | | $ | 19,595 | | | $ | 25,263 | | | $ | 28,936 | | | $ | 31,712 | | | $ | 33,522 | |
| Ratio of expenses to average net assets5 | | | 0.53 | % | | | 0.53 | % | | | 0.60 | % | | | 0.75 | % | | | 0.86 | % | | | 1.15 | % |
| Ratio of expenses to average net assets prior to fees waived5 | | | 1.26 | % | | | 1.14 | % | | | 0.94 | % | | | 1.03 | % | | | 1.10 | % | | | 1.30 | % |
| Ratio of net investment income (loss) to average net assets | | | (1.91 | )% | | | 2.03 | % | | | 0.90 | % | | | 1.25 | % | | | 2.15 | % | | | 0.49 | % |
| Ratio of net investment income (loss) to average net assets prior to fees waived | | | (2.64 | )% | | | 1.42 | % | | | 0.56 | % | | | 0.97 | % | | | 1.91 | % | | | 0.34 | % |
| Portfolio turnover | | | 70 | % | | | 157 | % | | | 252 | % | | | 126 | % | | | 108 | % | | | 268 | % |
| | |
| 1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2 | On October 4, 2019, the First Investors Life Series Limited Duration Bond Fund shares were reorganized into Standard Class shares of the Series. The Standard Class shares financial highlights for the period prior to October 4, 2019, reflect the performance of the First Investors Life Series Limited Duration Bond Fund shares. |
| 3 | Calculated using average shares outstanding. |
| 4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during the period shown reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 5 | Expense ratios do not include expenses of any investment companies in which the Series invests. |
See accompanying notes, which are an integral part of the financial statements.
Notes to financial statements
| Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series | June 30, 2023 (Unaudited) |
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust. The Trust consists of 10 series, each of which is treated as a separate entity for certain matters under the Investment Company Act of 1940, as amended (1940 Act). These financial statements and the related notes pertain to Delaware VIP Limited Duration Bond Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the 1940 Act and offers Standard Class shares. The Standard Class shares do not carry a distribution and service (12b-1) fee. The shares of the Series are sold only to separate accounts of life insurance companies.
1. Significant Accounting Policies
The Series follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Series.
Security Valuation — Debt securities and credit default swap (CDS) contracts are valued based upon valuations provided by an independent pricing service or broker counterparty and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations (CMOs), commercial mortgage securities, and US government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. US government and agency securities are valued at the mean between the bid and the ask prices, which approximates fair value. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and the ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Open-end investment companies, other than exchange-traded funds (ETFs), are valued at their published net asset value (NAV). Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by the Series’ valuation designee, Delaware Management Company (DMC). Subject to the oversight of the Trust’s Board of Trustees (Board), DMC, as valuation designee, has adopted policies and procedures to fair value securities for which market quotations are not readily available consistent with the requirements of Rule 2a-5 under the 1940 Act. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Restricted securities and private placements are valued at fair value.
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken or expected to be taken on the Series’ federal income tax returns through the six months ended June 30, 2023, and for all open tax years (years ended December 31, 2019–December 31, 2022), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regard to foreign taxes only, the Series has open tax years in certain foreign countries in which it invests that may date back to the inception of the Series. If applicable, the Series recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statement of operations.” During the six months ended June 30, 2023, the Series did not incur any interest or tax penalties.
Foreign Currency Transactions — Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Series’ prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into US dollars at the exchange rate of such currencies against the US dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Series generally bifurcates that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses), attributable to changes in foreign exchange rates, is included on the “Statement of operations” under “Net realized gain (loss) on foreign currencies.” The Series reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Derivative Financial Instruments — The Series may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Series must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Series successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Series can realize on an investment and/or may result in lower distributions paid to shareholders. The Series investments in these instruments, if any, are discussed in detail in the Notes to financial statements.
Segregation and Collateralizations — In certain cases, based on requirements and agreements with certain exchanges and third-party broker-dealers, the Series may deliver or receive collateral in connection with certain investments (e.g., futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods, and swaps). Certain countries require that cash reserves be held while investing in companies incorporated in that country. These cash reserves and cash collateral that has been pledged/received to cover obligations of the Series under derivative contracts, if any, will be reported separately on the “Statement of assets and liabilities” as cash collateral due to/from broker. Securities collateral pledged for the same purpose, if any, is noted on the “Schedule of investments.”
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Income and capital gain distributions from any Underlying Funds in which the Series invests are recorded on the ex-dividend date. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-backed securities are classified as interest income. The Series may pay foreign capital gains taxes on certain foreign securities held, which are reported as components of realized losses for financial reporting purposes, whereas such components are treated as ordinary loss for federal income tax purposes. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, at least annually. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expenses paid under this arrangement are included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.” For the six months ended June 30, 2023, the Series earned less than $1 under this arrangement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays DMC, a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly at the rates of 0.50% on the first $500 million of average daily net assets of the Series, 0.475% on the next $500 million, 0.45% on the next $1.5 billion, and 0.425% on average daily net assets in excess of $2.5 billion.
DMC has contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding any 12b-1 fees, acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations), in order to prevent total annual series operating expenses from exceeding 0.53% of the Series’ average daily net assets for the Standard Class and the Service Class from January 1, 2023 through June 30, 2023.* These waivers and reimbursements may only be terminated by agreement of DMC and the Series. The waivers and reimbursements are accrued daily and received monthly.
DMC may seek investment advice and recommendations from its affiliates: Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Global Limited (together, the “Affiliated Sub-Advisors”). DMC may also permit these Affiliated Sub-Advisors to execute Series security trades on behalf of DMC and exercise investment discretion for securities in certain markets where DMC believes it will be beneficial to utilize an Affiliated Sub-Advisor’s specialized market knowledge. Although the Affiliated Sub-Advisors serve as sub-advisors, DMC has ultimate responsibility for all investment advisory services. For these services, DMC, not the Series, pays each Affiliated Sub-Advisor a portion of its investment management fee.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; 0.0025% of the next $45 billion; and 0.0015% of aggregate average daily net assets in excess of $90 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the six months ended June 30, 2023, the Series paid $2,285 for these services.
DIFSC is also the transfer agent and dividend disbursing agent of the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Series’ average daily net assets. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended June 30, 2023, the Series paid $750 for these services. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are paid by the Series and are also included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees that are calculated daily and paid as invoices are received on a monthly or quarterly basis.
As provided in the investment management agreement, the Series bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to the Series. For the six months ended June 30, 2023, the Series paid $208 for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and Delaware Distributors, L.P. are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
In addition to the management fees and other expenses of the Series, the Series indirectly bears the investment management fees and other expenses of any Underlying Funds, including ETFs in which it invests. The amount of these fees and expenses incurred indirectly by the Series will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
| * | The aggregate contractual waiver period covering this report is from April 29, 2022 through April 30, 2024. |
3. Investments
For the six months ended June 30, 2023, the Series made purchases and sales of investment securities other than short-term investments as follows:
| Purchases other than US government securities | | $ | 2,280,242 | |
| Purchases of US government securities | | | 11,271,116 | |
| Sales other than US government securities | | | 4,283,833 | |
| Sales of US government securities | | | 9,584,521 | |
At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments and derivatives for the Series were as follows:
| Cost of investments and derivatives | | $ | 20,681,846 | |
| Aggregate unrealized appreciation of investments and derivatives | | $ | 16,519 | |
| Aggregate unrealized depreciation of investments and derivatives | | | (726,014 | ) |
| Net unrealized depreciation of investments and derivatives | | $ | (709,495 | ) |
At December 31, 2022, capital loss carryforwards available to offset future realized capital gains were as follows:
| Loss carryforward character | | | |
| Short-term | | Long-term | | Total | |
| $ | 1,556,754 | | | $ | 1,327,324 | | | $ | 2,884,078 | |
US GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
| Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
| | |
| Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
| | |
| Level 3 – | Significant unobservable inputs, including the Series’ own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series
3. Investments (continued)
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2023:
| | | Level 1 | | | Level 2 | | | Total | |
| Securities | | | | | | | | | | | | |
| Assets: | | | | | | | | | | | | |
| Agency Collateralized Mortgage Obligations | | $ | — | | | $ | 221,042 | | | $ | 221,042 | |
| Agency Mortgage-Backed Securities | | | — | | | | 837,629 | | | | 837,629 | |
| Collateralized Debt Obligations | | | — | | | | 1,824,548 | | | | 1,824,548 | |
| Corporate Bonds | | | — | | | | 9,847,007 | | | | 9,847,007 | |
| Non-Agency Asset-Backed Securities | | | — | | | | 1,899,501 | | | | 1,899,501 | |
| US Treasury Obligations | | | — | | | | 4,458,498 | | | | 4,458,498 | |
| Short-Term Investments | | | 935,649 | | | | — | | | | 935,649 | |
| Total Value of Securities | | $ | 935,649 | | | $ | 19,088,225 | | | $ | 20,023,874 | |
| | | | | | | | | | | | | |
| Derivatives1 | | | | | | | | | | | | |
| Assets: | | | | | | | | | | | | |
| Futures Contracts | | $ | 4,245 | | | $ | — | | | $ | 4,245 | |
| Liabilities: | | | | | | | | | | | | |
| Futures Contracts | | $ | (55,768 | ) | | $ | — | | | $ | (55,768 | ) |
| 1 | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
During the six months ended June 30, 2023, there were no transfers into or out of Level 3 investments. The Series’ policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning or end of the period in relation to the Series’ net assets. During the six months ended June 30, 2023, there were no Level 3 investments.
4. Capital Shares
Transactions in capital shares were as follows:
| | | Six months
ended
6/30/23 | | | Year ended
12/31/22 | |
| Shares sold: | | | | | | | | |
| Standard Class | | | 177,017 | | | | 51,267 | |
| Shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 58,509 | | | | 51,219 | |
| | | | 235,526 | | | | 102,486 | |
| Shares redeemed: | | | | | | | | |
| Standard Class | | | (216,433 | ) | | | (564,852 | ) |
| Net increase (decrease) | | | 19,093 | | | | (462,366 | ) |
5. Line of Credit
The Series, along with certain other funds in the Delaware Funds (Participants), is a participant in a $355,000,000 revolving line of credit (Agreement) intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the Agreement, the Participants are charged an annual commitment fee of 0.15%, which is allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants are permitted to borrow up to a maximum of one-third of their net assets under the Agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the Agreement expires on October 30, 2023.
The Series had no amounts outstanding as of June 30, 2023, or at any time during the period then ended.
6. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Futures Contracts
A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Series may use futures contracts in the normal course of pursuing its investment objective. The Series may invest in futures contracts to hedge its existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions. Upon entering into a futures contract, the Series deposits cash or pledges US government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Series as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Series because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. At June 30, 2023, the Series posted $23,122 in cash as collateral for open futures contracts, which is included in “Cash collateral due from brokers” on the “Statement of assets and liabilities”.
During the six months ended June 30, 2023, the Series entered into futures contracts to hedge the Series’ existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions.
During the six months ended June 30, 2023, the Series experienced unrealized gains or losses attributable to foreign currency holdings, which are disclosed on the “Statement of assets and liabilities”.
The effect of derivative instruments on the “Statement of Operations” for the six months ended June 30, 2023 was as follows:
| | | Net Realized
Gain (Loss) on: | |
| | | Futures
Contracts | |
| Interest rate contracts | | $ | (8,334 | ) |
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series
6. Derivatives (continued)
| | | Net Change in
Unrealized
Appreciation
(Depreciation)
on: | |
| | | Futures
Contracts | |
| Interest rate contracts | | $ | (53,524 | ) |
The table below summarizes the average balance of derivative holdings by the Series during the six months ended June 30, 2023:
| | | Long Derivative
Volume | | | Short Derivative
Volume | |
| Futures contracts (average notional value) | | $ | 3,106,383 | | | $ | 340,710 | |
7. Securities Lending
The Series, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by the Series is generally invested in an individual separate account. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. The Series can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Series may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of the Series’ cash collateral account may be less than the amount the Series would be required to return to the borrowers of the securities and the Series would be required to make up for this shortfall.
At June 30, 2023, the Series had no securities out on loan.
8. Credit and Market Risk
The global outbreak of COVID-19 resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the outbreak, its full economic impact and ongoing effects at the macro-level and on individual businesses are unpredictable and may result in significant and prolonged effects on the Series’ performance.
When interest rates rise, fixed income securities (i.e. debt obligations) generally will decline in value. These declines in value are greater for fixed income securities with longer maturities or durations. Interest rate changes are influenced by a number of factors, such as government policy, monetary policy, inflation expectations, and the supply and demand of bonds. A series may be subject to a greater risk of rising interest rates when interest rates are low or inflation rates are high or rising.
IBOR is the risk that changes related to the use of the London interbank offered rate (LIBOR) and other interbank offered rate (collectively, IBORs) could have adverse impacts on financial instruments that reference LIBOR (or the corresponding IBOR). The abandonment of LIBOR could affect the value and liquidity of instruments that reference LIBOR. The use of alternative reference rate products may impact investment strategy performance. These risks may also apply with respect to changes in connection with other IBORs, such as the euro overnight index average (EONIA), which are also the subject of recent reform.
The Series invests in bank loans and other securities that may subject it to direct indebtedness risk, the risk that the Series will not receive payment of principal, interest, and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Series more protection than unsecured loans in the event of nonpayment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Series may involve revolving credit facilities or other standby financing commitments that obligate the Series to pay additional cash on a certain date or on demand. These commitments may require the Series to increase its investment in a company at a time when the Series might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that the Series is committed to advance additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments. When a loan agreement is purchased, the Series may pay an assignment fee. On an ongoing basis, the Series may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by a borrower. Prepayment penalty, facility, commitment, consent, and amendment fees are recorded to income as earned or paid.
As the Series may be required to rely upon another lending institution to collect and pass on to the Series amounts payable with respect to the loan and to enforce the Series’ rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Series from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Series.
Some countries in which the Series may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series
8. Credit and Market Risk (continued)
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the US. Consequently, acquisition and disposition of securities by the Series may be inhibited. In addition, a significant portion of the aggregate market value of securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Series.
The Series invests in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the underlying mortgages and consumer loans are paid back. Some of these securities are CMOs. CMOs are debt securities issued by US government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on the Series’ yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Series may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
The Series invests in high yield fixed income securities, which are securities rated lower than BBB- by Standard & Poor’s Financial Services LLC and Baa3 by Moody’s Investors Service, Inc. or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. Rule 144A securities have been identified on the “Schedule of investments.”
9. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
10. Recent Accounting Pronouncements
In March 2020, FASB issued an Accounting Standards Update (ASU), ASU 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. On December 21, 2022, FASB issued ASU 2022-06 to defer the sunset date of Accounting Standards Codification Topic 848 until December 31, 2024. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2024. Management is currently evaluating ASU 2020-04 and ASU 2022-06, but does not believe there will be a material impact.
11. New Regulatory Pronouncement
In October 2022, the Securities and Exchange Commission (SEC) adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual
funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
12. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in the Series’ financial statements.
Other Series information (Unaudited)
Delaware VIP® Trust — Delaware VIP Limited Duration Bond Series
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end funds (other than money market funds) to adopt and implement a program reasonably designed to assess and manage the fund’s “liquidity risk,” defined as the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund.
The Series has adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Series in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of the Series’ liquidity risk; (2) classification of each of the Series’ portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Series’ net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting the Series’ acquisition of Illiquid investments if, immediately after the acquisition, the Series would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if the Series’ holdings of Illiquid assets exceed 15% of the Series’ net assets. Series with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing the Series’ liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) the Series’ investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Series during both normal and reasonably foreseeable stressed conditions; and (3) the Series’ holdings of cash and cash equivalents and any borrowing arrangements. Classification of the Series’ portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. The Series primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 23-25, 2023, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2022 through March 31, 2023. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and the Series’ liquidity needs. The Series’ HLIM is set at an appropriate level and the Series complied with its HLIM at all times during the reporting period.
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. The Series’ Form N-PORT, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities, is available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-PORT are available without charge on the Series’ website at delawarefunds.com/vip/literature.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Series’ website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(3031246)
SA-VIPLDB-0823
Semiannual report
Delaware VIP® Trust
Delaware VIP Opportunity Series
June 30, 2023
Table of contents
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 (“Macquarie Bank”), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Series is governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2023, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
The Series is distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
This material may be used in conjunction with the offering of shares in Delaware VIP® Opportunity Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2023 Macquarie Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Disclosure of Series expenses
For the six-month period from January 1, 2023 to June 30, 2023 (Unaudited)
The investment objective of the Series is to seek long-term capital growth
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2023 to June 30, 2023.
Actual expenses
The first section of the table shown, “Actual Series return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ expenses shown in the table reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
| | | Beginning
Account
Value
1/1/23 | | Ending
Account
Value
6/30/23 | | Annualized
Expense
Ratio | | Expenses
Paid
During
Period
1/1/23 to
6/30/23* |
| Actual Series return† | | | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,082.20 | | | 0.83% | | $ | 4.29 | |
| Hypothetical 5% return (5% return before expenses) |
| Standard Class | | $ | 1,000.00 | | | $ | 1,020.68 | | | 0.83% | | $ | 4.16 | |
| | |
| * | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| † | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Series’ expenses reflected above, the Series also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds) in which it invests. The table above does not reflect the expenses of any Underlying Funds.
Security type / sector allocations and top 10 equity holdings
| Delaware VIP® Trust — Delaware VIP Opportunity Series | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund’s sector designations.
| Security type / sector | | Percentage
of net assets |
| Common Stocks | | 98.35 | % |
| Basic Materials | | 8.12 | % |
| Business Services | | 5.61 | % |
| Capital Goods | | 12.45 | % |
| Consumer Discretionary | | 4.69 | % |
| Consumer Services | | 2.44 | % |
| Consumer Staples | | 3.34 | % |
| Credit Cyclicals | | 4.31 | % |
| Energy | | 4.10 | % |
| Financial Services | | 12.10 | % |
| Healthcare | | 14.34 | % |
| Media | | 2.04 | % |
| Real Estate Investment Trusts | | 5.98 | % |
| Technology | | 13.70 | % |
| Transportation | | 3.52 | % |
| Utilities | | 1.61 | % |
| Short-Term Investments | | 1.75 | % |
| Total Value of Securities | | 100.10 | % |
| Liabilities Net of Receivables and Other Assets | | (0.10 | )% |
| Total Net Assets | | 100.00 | % |
Holdings are for informational purposes only and are subject to change at any time. They are not a recommendation to buy, sell, or hold any security.
| Top 10 equity holdings | | Percentage
of net assets |
| Quanta Services | | 1.92 | % |
| Primerica | | 1.83 | % |
| Liberty Energy | | 1.79 | % |
| PTC | | 1.52 | % |
| Chesapeake Energy | | 1.49 | % |
| WillScot Mobile Mini Holdings | | 1.48 | % |
| Casey’s General Stores | | 1.46 | % |
| Huntsman | | 1.43 | % |
| Reliance Steel & Aluminum | | 1.32 | % |
| Beacon Roofing Supply | | 1.28 | % |
Schedule of investments
| Delaware VIP® Trust — Delaware VIP Opportunity Series | June 30, 2023 (Unaudited) |
| | | Number of
shares | | | Value (US $) |
| Common Stocks — 98.35% | | | | |
| Basic Materials — 8.12% | | | | | | | | |
| Beacon Roofing Supply † | | | 11,930 | | | $ | 989,951 | |
| Boise Cascade | | | 9,099 | | | | 822,095 | |
| Huntsman | | | 40,848 | | | | 1,103,713 | |
| Kaiser Aluminum | | | 5,498 | | | | 393,877 | |
| Minerals Technologies | | | 12,733 | | | | 734,567 | |
| Reliance Steel & Aluminum | | | 3,758 | | | | 1,020,635 | |
| Westrock | | | 13,008 | | | | 378,142 | |
| Worthington Industries | | | 11,836 | | | | 822,247 | |
| | | | | | | | 6,265,227 | |
| Business Services — 5.61% | | | | | | | | |
| ABM Industries | | | 11,223 | | | | 478,661 | |
| Aramark | | | 22,026 | | | | 948,219 | |
| ASGN † | | | 7,795 | | | | 589,536 | |
| Casella Waste Systems Class A † | | | 4,490 | | | | 406,121 | |
| Clean Harbors † | | | 4,643 | | | | 763,448 | |
| WillScot Mobile Mini Holdings † | | | 23,806 | | | | 1,137,689 | |
| | | | | | | | 4,323,674 | |
| Capital Goods — 12.45% | | | | | | | | |
| Ameresco Class A † | | | 5,261 | | | | 255,842 | |
| Barnes Group | | | 4,730 | | | | 199,559 | |
| Carlisle | | | 2,533 | | | | 649,790 | |
| Chart Industries † | | | 1,525 | | | | 243,680 | |
| Coherent † | | | 10,807 | | | | 550,941 | |
| Federal Signal | | | 8,401 | | | | 537,916 | |
| Gates Industrial † | | | 18,044 | | | | 243,233 | |
| Graco | | | 7,000 | | | | 604,450 | |
| Kadant | | | 1,815 | | | | 403,111 | |
| KBR | | | 11,492 | | | | 747,669 | |
| Lincoln Electric Holdings | | | 4,324 | | | | 858,876 | |
| MasTec † | | | 6,675 | | | | 787,450 | |
| Quanta Services | | | 7,528 | | | | 1,478,876 | |
| Tetra Tech | | | 3,571 | | | | 584,716 | |
| WESCO International | | | 5,310 | | | | 950,809 | |
| Zurn Elkay Water Solutions | | | 18,980 | | | | 510,372 | |
| | | | | | | | 9,607,290 | |
| Consumer Discretionary — 4.69% | | | | | | | | |
| BJ’s Wholesale Club Holdings † | | | 7,827 | | | | 493,180 | |
| Dick’s Sporting Goods | | | 6,884 | | | | 909,996 | |
| Five Below † | | | 4,574 | | | | 898,974 | |
| Malibu Boats Class A † | | | 9,747 | | | | 571,759 | |
| Steven Madden | | | 22,638 | | | | 740,036 | |
| | | | | | | | 3,613,945 | |
| Consumer Services — 2.44% | | | | | | | | |
| Brinker International † | | | 9,336 | | | | 341,698 | |
| Jack in the Box | | | 3,719 | | | | 362,714 | |
| Texas Roadhouse | | | 5,808 | | | | 652,122 | |
| Wendy’s | | | 24,095 | | | | 524,066 | |
| | | | | | | | 1,880,600 | |
| Consumer Staples — 3.34% | | | | | | | | |
| Casey’s General Stores | | | 4,613 | | | | 1,125,018 | |
| Helen of Troy † | | | 3,015 | | | | 325,680 | |
| J & J Snack Foods | | | 3,799 | | | | 601,610 | |
| YETI Holdings † | | | 13,484 | | | | 523,719 | |
| | | | | | | | 2,576,027 | |
| Credit Cyclicals — 4.31% | | | | | | | | |
| BorgWarner | | | 14,294 | | | | 699,120 | |
| Dana | | | 18,693 | | | | 317,781 | |
| KB Home | | | 8,839 | | | | 457,065 | |
| La-Z-Boy | | | 11,940 | | | | 341,962 | |
| Taylor Morrison Home † | | | 12,447 | | | | 607,040 | |
| Toll Brothers | | | 11,405 | | | | 901,793 | |
| | | | | | | | 3,324,761 | |
| Energy — 4.10% | | | | | | | | |
| Chesapeake Energy | | | 13,741 | | | | 1,149,847 | |
| Liberty Energy | | | 103,430 | | | | 1,382,859 | |
| Southwestern Energy † | | | 105,000 | | | | 631,050 | |
| | | | | | | | 3,163,756 | |
| Financial Services — 12.10% | | | | | | | | |
| Axis Capital Holdings | | | 12,369 | | | | 665,823 | |
| Columbia Banking System | | | 24,513 | | | | 497,124 | |
| East West Bancorp | | | 16,190 | | | | 854,670 | |
| Essent Group | | | 14,837 | | | | 694,372 | |
| Hamilton Lane Class A | | | 6,473 | | | | 517,710 | |
| Kemper | | | 12,020 | | | | 580,085 | |
| NMI Holdings Class A † | | | 17,979 | | | | 464,218 | |
| Primerica | | | 7,145 | | | | 1,412,995 | |
| Reinsurance Group of America | | | 5,795 | | | | 803,708 | |
| SouthState | | | 8,096 | | | | 532,717 | |
| Stifel Financial | | | 13,776 | | | | 822,014 | |
| Valley National Bancorp | | | 48,413 | | | | 375,201 | |
| Webster Financial | | | 18,121 | | | | 684,068 | |
| WSFS Financial | | | 11,457 | | | | 432,158 | |
| | | | | | | | 9,336,863 | |
| Healthcare — 14.34% | | | | | | | | |
| Amicus Therapeutics † | | | 31,682 | | | | 397,926 | |
| Azenta † | | | 7,381 | | | | 344,545 | |
| Bio-Techne | | | 7,719 | | | | 630,102 | |
| Blueprint Medicines † | | | 7,232 | | | | 457,062 | |
| Catalent † | | | 8,194 | | | | 355,292 | |
| Encompass Health | | | 9,444 | | | | 639,453 | |
| Exact Sciences † | | | 6,512 | | | | 611,477 | |
| Halozyme Therapeutics † | | | 15,605 | | | | 562,872 | |
| ICON † | | | 2,730 | | | | 683,046 | |
| Insmed † | | | 17,010 | | | | 358,911 | |
| Inspire Medical Systems † | | | 2,503 | | | | 812,574 | |
| Intra-Cellular Therapies † | | | 4,600 | | | | 291,272 | |
| Lantheus Holdings † | | | 4,140 | | | | 347,429 | |
| Ligand Pharmaceuticals † | | | 5,490 | | | | 395,829 | |
| Natera † | | | 10,381 | | | | 505,140 | |
| Neurocrine Biosciences † | | | 6,917 | | | | 652,273 | |
| OmniAb † | | | 32,937 | | | | 165,673 | |
| OmniAb 12.5 =, † | | | 1,789 | | | | 0 | |
| OmniAb 15 =, † | | | 1,789 | | | | 0 | |
| PTC Therapeutics † | | | 5,735 | | | | 233,242 | |
| QuidelOrtho † | | | 3,922 | | | | 324,977 | |
Schedule of investments
Delaware VIP® Trust — Delaware VIP Opportunity Series
| | | Number of
shares | | | Value (US $) |
| Common Stocks (continued) | | | | | | |
| Healthcare (continued) | | | | | | | | |
| Repligen † | | | 3,767 | | | $ | 532,880 | |
| Shockwave Medical † | | | 2,677 | | | | 764,043 | |
| Supernus Pharmaceuticals † | | | 13,566 | | | | 407,794 | |
| Travere Therapeutics † | | | 16,787 | | | | 257,848 | |
| Ultragenyx Pharmaceutical † | | | 7,140 | | | | 329,368 | |
| | | | | | | | 11,061,028 | |
| Media — 2.04% | | | | | | | | |
| IMAX † | | | 23,381 | | | | 397,243 | |
| Interpublic Group | | | 20,813 | | | | 802,966 | |
| Nexstar Media Group | | | 2,248 | | | | 374,404 | |
| | | | | | | | 1,574,613 | |
| Real Estate Investment Trusts — 5.98% | | | | | | | | |
| Brixmor Property Group | | | 33,133 | | | | 728,926 | |
| Camden Property Trust | | | 5,725 | | | | 623,281 | |
| DiamondRock Hospitality | | | 29,095 | | | | 233,051 | |
| EastGroup Properties | | | 3,177 | | | | 551,527 | |
| First Industrial Realty Trust | | | 14,643 | | | | 770,808 | |
| Kite Realty Group Trust | | | 30,494 | | | | 681,236 | |
| National Storage Affiliates Trust | | | 10,080 | | | | 351,086 | |
| Pebblebrook Hotel Trust | | | 21,110 | | | | 294,273 | |
| Physicians Realty Trust | | | 27,210 | | | | 380,668 | |
| | | | | | | | 4,614,856 | |
| Technology — 13.70% | | | | | | | | |
| Box Class A † | | | 9,277 | | | | 272,558 | |
| DoubleVerify Holdings † | | | 5,016 | | | | 195,223 | |
| Dynatrace † | | | 9,913 | | | | 510,222 | |
| ExlService Holdings † | | | 6,377 | | | | 963,310 | |
| Guidewire Software † | | | 6,054 | | | | 460,588 | |
| MACOM Technology Solutions Holdings † | | | 7,213 | | | | 472,668 | |
| MaxLinear † | | | 12,410 | | | | 391,660 | |
| Paycom Software | | | 468 | | | | 150,340 | |
| Procore Technologies † | | | 7,622 | | | | 495,964 | |
| PTC † | | | 8,244 | | | | 1,173,121 | |
| Q2 Holdings † | | | 9,952 | | | | 307,517 | |
| Rapid7 † | | | 6,044 | | | | 273,672 | |
| Regal Rexnord | | | 3,627 | | | | 558,195 | |
| Semtech † | | | 15,128 | | | | 385,159 | |
| Silicon Laboratories † | | | 3,063 | | | | 483,158 | |
| Smartsheet Class A † | | | 12,590 | | | | 481,693 | |
| Sprout Social Class A † | | | 5,263 | | | | 242,940 | |
| SPS Commerce † | | | 1,043 | | | | 200,319 | |
| Tyler Technologies † | | | 368 | | | | 153,261 | |
| Varonis Systems † | | | 15,730 | | | | 419,205 | |
| WNS Holdings ADR † | | | 10,327 | | | | 761,306 | |
| Workiva † | | | 3,539 | | | | 359,775 | |
| Yelp † | | | 12,427 | | | | 452,467 | |
| Ziff Davis † | | | 5,804 | | | | 406,628 | |
| | | | | | | | 10,570,949 | |
| Transportation — 3.52% | | | | | | | | |
| Allegiant Travel † | | | 3,337 | | | | 421,396 | |
| Kirby † | | | 10,030 | | | | 771,809 | |
| Knight-Swift Transportation Holdings | | | 13,936 | | | | 774,284 | |
| Werner Enterprises | | | 16,913 | | | | 747,216 | |
| | | | | | | | 2,714,705 | |
| Utilities — 1.61% | | | | | | | | |
| Black Hills | | | 10,547 | | | | 635,562 | |
| Spire | | | 9,509 | | | | 603,251 | |
| | | | | | | | 1,238,813 | |
Total Common Stocks
(cost $63,069,710) | | | | | | | 75,867,107 | |
| | | | | | | | | |
| Short-Term Investments — 1.75% | | | | | | | | |
| Money Market Mutual Funds — 1.75% | | | | | | | | |
| BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | | | 337,881 | | | | 337,881 | |
| Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | | | 337,885 | | | | 337,885 | |
| Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | | | 337,885 | | | | 337,885 | |
| Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | | | 337,884 | | | | 337,884 | |
Total Short-Term Investments
(cost $1,351,535) | | | | | | | 1,351,535 | |
Total Value of Securities—100.10%
(cost $64,421,245) | | | | | | $ | 77,218,642 | |
| | |
| † | Non-income producing security. |
| = | The value of this security was determined using significant unobservable inputs and is reported as a Level 3 security in the disclosure table located in Note 3 in “Notes to financial statements.” |
Summary of abbreviations:
ADR – American Depositary Receipt
See accompanying notes, which are an integral part of the financial statements.
Statement of assets and liabilities
| Delaware VIP® Trust — Delaware VIP Opportunity Series | June 30, 2023 (Unaudited) |
| Assets: | | | |
| Investments, at value* | | $ | 77,218,642 | |
| Dividends receivable | | | 57,282 | |
| Receivable for series shares sold | | | 6,835 | |
| Prepaid expenses | | | 5 | |
| Other assets | | | 626 | |
| Total Assets | | | 77,283,390 | |
| Liabilities: | | | | |
| Other accrued expenses | | | 76,797 | |
| Investment management fees payable to affiliates | | | 38,566 | |
| Payable for series shares redeemed | | | 19,716 | |
| Administration expenses payable to affiliates | | | 9,035 | |
| Total Liabilities | | | 144,114 | |
| Total Net Assets | | $ | 77,139,276 | |
| | | | | |
| Net Assets Consist of: | | | | |
| Paid-in capital | | $ | 62,832,259 | |
| Total distributable earnings (loss) | | | 14,307,017 | |
| Total Net Assets | | $ | 77,139,276 | |
| | | | | |
| Net Asset Value | | | | |
| Standard Class: | | | | |
| Net assets | | $ | 77,139,276 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 4,756,006 | |
| Net asset value per share | | $ | 16.22 | |
| | | | |
| *Investments, at cost | | $ | 64,421,245 | |
See accompanying notes, which are an integral part of the financial statements.
Statement of operations
| Delaware VIP® Trust — Delaware VIP Opportunity Series | Six months ended June 30, 2023 (Unaudited) |
| Investment Income: | | | |
| Dividends | | $ | 566,332 | |
| | | | | |
| Expenses: | | | | |
| Management fees | | | 276,365 | |
| Accounting and administration expenses | | | 23,890 | |
| Dividend disbursing and transfer agent fees and expenses | | | 16,967 | |
| Audit and tax fees | | | 15,360 | |
| Reports and statements to shareholders expenses | | | 8,310 | |
| Custodian fees | | | 3,202 | |
| Legal fees | | | 2,462 | |
| Trustees’ fees and expenses | | | 2,427 | |
| Other | | | 1,996 | |
| | | | 350,979 | |
| Less expenses waived | | | (45,051 | ) |
| Total operating expenses | | | 305,928 | |
| Net Investment Income (Loss) | | | 260,404 | |
| | | | | |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on investments | | | 1,457,931 | |
| Net change in unrealized appreciation (depreciation) on investments | | | 4,348,527 | |
| Net Realized and Unrealized Gain (Loss) | | | 5,806,458 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 6,066,862 | |
See accompanying notes, which are an integral part of the financial statements.
Statements of changes in net assets
Delaware VIP® Trust — Delaware VIP Opportunity Series
| | | Six months
ended
6/30/23
(Unaudited) | | | Year ended
12/31/22 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 260,404 | | | $ | 467,083 | |
| Net realized gain (loss) | | | 1,457,931 | | | | 5,570,460 | |
| Net change in unrealized appreciation (depreciation) | | | 4,348,527 | | | | (18,379,804 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 6,066,862 | | | | (12,342,261 | ) |
| | | | | | | | | |
| Dividends and Distributions to Shareholders from: | | | | | | | | |
| Distributable earnings: | | | | | | | | |
| Standard Class | | | (6,117,884 | ) | | | (6,199,616 | ) |
| | | | | | | | | |
| Capital Share Transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Standard Class | | | 5,187,810 | | | | 3,042,001 | |
| | | | | | | | | |
| Net asset value of shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 6,117,884 | | | | 6,199,616 | |
| | | | 11,305,694 | | | | 9,241,617 | |
| Cost of shares redeemed: | | | | | | | | |
| Standard Class | | | (6,110,363 | ) | | | (10,817,416 | ) |
| Increase (decrease) in net assets derived from capital share transactions | | | 5,195,331 | | | | (1,575,799 | ) |
| Net Increase (Decrease) in Net Assets | | | 5,144,309 | | | | (20,117,676 | ) |
| | | | | | | | | |
| Net Assets: | | | | | | | | |
| Beginning of period | | | 71,994,967 | | | | 92,112,643 | |
| End of period | | $ | 77,139,276 | | | $ | 71,994,967 | |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Delaware VIP® Opportunity Series Standard Class
Selected data for each share of the Series outstanding throughout each period were as follows:
| | | Six months
ended
6/30/231 | | | Year ended | |
| | | (Unaudited) | | | 12/31/22 | | | 12/31/21 | | | 12/31/20 | | | 12/31/192 | | | 12/31/18 | |
| Net asset value, beginning of period | | $ | 16.33 | | | $ | 20.48 | | | $ | 17.10 | | | $ | 19.50 | | | $ | 15.58 | | | $ | 18.76 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income3 | | | 0.06 | | | | 0.10 | | | | 0.04 | | | | 0.22 | | | | 0.11 | | | | 0.24 | |
| Net realized and unrealized gain (loss) | | | 1.22 | | | | (2.82 | ) | | | 3.88 | | | | 0.36 | | | | 4.49 | | | | (3.08 | ) |
| Total from investment operations | | | 1.28 | | | | (2.72 | ) | | | 3.92 | | | | 0.58 | | | | 4.60 | | | | (2.84 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.11 | ) | | | (0.04 | ) | | | (0.23 | ) | | | (0.12 | ) | | | (0.23 | ) | | | (0.10 | ) |
| Net realized gain | | | (1.28 | ) | | | (1.39 | ) | | | (0.31 | ) | | | (2.86 | ) | | | (0.45 | ) | | | (0.24 | ) |
| Total dividends and distributions | | | (1.39 | ) | | | (1.43 | ) | | | (0.54 | ) | | | (2.98 | ) | | | (0.68 | ) | | | (0.34 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Net asset value, end of period | | $ | 16.22 | | | $ | 16.33 | | | $ | 20.48 | | | $ | 17.10 | | | $ | 19.50 | | | $ | 15.58 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Total return4 | | | 8.22 | %5 | | | (13.68 | )%5 | | | 23.13 | %5 | | | 10.80 | %5 | | | 30.11 | %5 | | | (15.38 | )% |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | | $ | 77,139 | | | $ | 71,995 | | | $ | 92,113 | | | $ | 85,676 | | | $ | 82,342 | | | $ | 64,195 | |
| Ratio of expenses to average net assets6 | | | 0.83 | % | | | 0.83 | % | | | 0.83 | % | | | 0.83 | % | | | 0.84 | % | | | 0.83 | % |
| Ratio of expenses to average net assets prior to fees waived6 | | | 0.95 | % | | | 0.93 | % | | | 0.88 | % | | | 0.97 | % | | | 0.89 | % | | | 0.83 | % |
| Ratio of net investment income to average net assets | | | 0.71 | % | | | 0.60 | % | | | 0.19 | % | | | 1.50 | % | | | 0.65 | % | | | 1.34 | % |
| Ratio of net investment income to average net assets prior to fees waived | | | 0.59 | % | | | 0.50 | % | | | 0.14 | % | | | 1.36 | % | | | 0.60 | % | | | 1.34 | % |
| Portfolio turnover | | | 13 | % | | | 22 | % | | | 17 | % | | | 31 | % | | | 125 | %7 | | | 59 | % |
| | |
| 1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2 | On October 4, 2019, the First Investors Life Series Opportunity Fund shares were reorganized into Standard Class shares of the Series. The Standard Class shares financial highlights for the period prior to October 4, 2019, reflect the performance of the First Investors Life Series Opportunity Fund shares. |
| 3 | Calculated using average shares outstanding. |
| 4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 5 | Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
| 6 | Expense ratios do not include expenses of any investment companies in which the Series invests. |
| 7 | The Series’ portfolio turnover rate increased substantially during the year ended December 31, 2019 due to a change in the Series’ portfolio managers and associated repositioning. |
See accompanying notes, which are an integral part of the financial statements.
Notes to financial statements
| Delaware VIP® Trust — Delaware VIP Opportunity Series | June 30, 2023 (Unaudited) |
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust. The Trust consists of 10 series, each of which is treated as a separate entity for certain matters under the Investment Company Act of 1940, as amended (1940 Act). These financial statements and the related notes pertain to Delaware VIP Opportunity Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the 1940 Act and offers Standard Class shares. The Standard Class shares do not carry a distribution and service (12b-1) fee. The shares of the Series are sold only to separate accounts of life insurance companies.
1. Significant Accounting Policies
The Series follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Series.
Security Valuation — Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and the ask prices will be used, which approximates fair value. Open-end investment companies, other than ETFs, are valued at their published net asset value (NAV). Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by the Series’ valuation designee, Delaware Management Company (DMC). Subject to the oversight of the Trust’s Board of Trustees (Board), DMC, as valuation designee, has adopted policies and procedures to fair value securities for which market quotations are not readily available consistent with the requirements of Rule 2a-5 under the 1940 Act. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Restricted securities and private placements are valued at fair value.
Federal Income Taxes — No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken or expected to be taken on the Series’ federal income tax returns through the six months ended June 30, 2023, and for all open tax years (years ended December 31, 2019–December 31, 2022), and has concluded that no provision for federal income tax is required in the Series’ financial statements. If applicable, the Series recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statement of operations.” During the six months ended June 30, 2023, the Series did not incur any interest or tax penalties.
Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Distributions received from investments in real estate investment trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to reclassification upon notice of the character of such distributions by the issuer. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, at least annually. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expenses paid under this arrangement are included on the “Statement of operations”
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Opportunity Series
1. Significant Accounting Policies (continued)
under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.” For the six months ended June 30, 2023, the Series earned less than $1 under this arrangement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays DMC, a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly at the rates of 0.75% on the first $500 million of average daily net assets of the Series, 0.70% on the next $500 million, 0.65% on the next $1.5 billion, and 0.60% on average daily net assets in excess of $2.5 billion.
DMC has contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding any acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations), in order to prevent total annual series operating expenses from exceeding 0.83% of the Series’ average daily net assets from January 1, 2023 through June 30, 2023.* These waivers and reimbursements may only be terminated by agreement of DMC and the Series. The waivers and reimbursements are accrued daily and received monthly.
DMC may permit its affiliate, Macquarie Investment Management Global Limited (MIMGL), to execute Series security trades on behalf of DMC. DMC may also seek quantitative support from MIMGL. Although MIMGL serves as sub-advisor, DMC has ultimate responsibility for all investment advisory services. For these services, DMC, not the Series, may pay MIMGL a portion of its investment management fee.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; 0.0025% of the next $45 billion; and 0.0015% of aggregate average daily net assets in excess of $90 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the six months ended June 30, 2023, the Series paid $3,083 for these services.
DIFSC is also the transfer agent and dividend disbursing agent of the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Series’ average daily net assets. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended June 30, 2023, the Series paid $2,795 for these services. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are paid by the Series and are also included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees that are calculated daily and paid as invoices are received on a monthly or quarterly basis.
As provided in the investment management agreement, the Series bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to the Series. For the six months ended June 30, 2023, the Series paid $782 for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and Delaware Distributors, L.P. are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
In addition to the management fees and other expenses of the Series, the Series indirectly bears the investment management fees and other expenses of any Underlying Funds including, ETFs in which it invests. The amount of these fees and expenses incurred indirectly by the Series will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
Cross trades for the six months ended June 30, 2023, were executed by the Series pursuant to procedures adopted by the Board designed to ensure compliance with Rule 17a-7 under the 1940 Act. Cross trading is the buying or selling of portfolio securities between funds of investment
companies, or between a fund of an investment company and another entity, that are or could be considered affiliates by virtue of having a common investment advisor (or affiliated investment advisors), common directors/trustees and/or common officers. At its regularly scheduled meetings, the Board reviews a report related to the Series’ compliance with the procedures adopted by the Board. Pursuant to these procedures, for the six months ended June 30, 2023, the Series engaged in Rule 17a-7 securities purchases of $1,514,177 and sales of $356,635, resulting in gains of $26,036.
*The aggregate contractual waiver period covering this report is from April 29, 2022 through April 30, 2024.
3. Investments
For the six months ended June 30, 2023, the Series made purchases and sales of investment securities other than short-term investments as follows:
| Purchases | | $ | 9,739,213 | |
| Sales | | | 9,321,354 | |
At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments for the Series were as follows:
| Cost of investments | | $ | 64,421,245 | |
| Aggregate unrealized appreciation of investments | | $ | 17,673,189 | |
| Aggregate unrealized depreciation of investments | | | (4,875,792 | ) |
| Net unrealized appreciation of investments | | $ | 12,797,397 | |
US GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
| Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
| | |
| Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
| | |
| Level 3 – | Significant unobservable inputs, including the Series’ own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Opportunity Series
3. Investments (continued)
comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2023:
| | | Level 1 | | | Level 3 | | | Total | |
| Securities | | | | | | | | | | | | |
| Assets: | | | | | | | | | | | | |
| Common Stocks | | | | | | | | | | | | |
| Basic Materials | | $ | 6,265,227 | | | $ | — | | | $ | 6,265,227 | |
| Business Services | | | 4,323,674 | | | | — | | | | 4,323,674 | |
| Capital Goods | | | 9,607,290 | | | | — | | | | 9,607,290 | |
| Consumer Discretionary | | | 3,613,945 | | | | — | | | | 3,613,945 | |
| Consumer Services | | | 1,880,600 | | | | — | | | | 1,880,600 | |
| Consumer Staples | | | 2,576,027 | | | | — | | | | 2,576,027 | |
| Credit Cyclicals | | | 3,324,761 | | | | — | | | | 3,324,761 | |
| Energy | | | 3,163,756 | | | | — | | | | 3,163,756 | |
| Financial Services | | | 9,336,863 | | | | — | | | | 9,336,863 | |
| Healthcare | | | 11,061,028 | | | | — | 1 | | | 11,061,028 | |
| Media | | | 1,574,613 | | | | — | | | | 1,574,613 | |
| Real Estate Investment Trusts | | | 4,614,856 | | | | — | | | | 4,614,856 | |
| Technology | | | 10,570,949 | | | | — | | | | 10,570,949 | |
| Transportation | | | 2,714,705 | | | | — | | | | 2,714,705 | |
| Utilities | | | 1,238,813 | | | | — | | | | 1,238,813 | |
| Short-Term Investments | | | 1,351,535 | | | | — | | | | 1,351,535 | |
| Total Value of Securities | | $ | 77,218,642 | | | $ | — | | | $ | 77,218,642 | |
| | |
| 1 | The security that has been valued at zero on the “Schedule of investments” is considered to be Level 3 investments in this table. |
During the period ended June 30, 2023, there were no transfers into or out of Level 3 investments. The Series’ policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning or end of the period in relation to the Series’ net assets. Management has determined not to provide a reconciliation of Level 3 investments as the Level 3 investments were not considered significant to the Series’ net assets at the beginning or end of the period. Management has determined not to provide additional disclosure on Level 3 inputs since the Level 3 investments are not considered significant to the Series’ net assets at the end of the period.
4. Capital Shares
Transactions in capital shares were as follows:
| | | Six months
ended
6/30/23 | | | Year ended
12/31/22 | |
| Shares sold: | | | | | | | | |
| Standard Class | | | 321,362 | | | | 176,166 | |
| Shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 396,493 | | | | 358,982 | |
| | | | 717,855 | | | | 535,148 | |
| Shares redeemed: | | | | | | | | |
| Standard Class | | | (371,024 | ) | | | (623,281 | ) |
| Net increase (decrease) | | | 346,831 | | | | (88,133 | ) |
5. Line of Credit
The Series, along with certain other funds in the Delaware Funds (Participants), is a participant in a $355,000,000 revolving line of credit (Agreement) intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the Agreement, the Participants are charged an annual commitment fee of 0.15%, which is allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants are permitted to borrow up to a maximum of one-third of their net assets under the Agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the Agreement expires on October 30, 2023.
The Series had no amounts outstanding as of June 30, 2023, or at any time during the period then ended.
6. Securities Lending
The Series, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by the Series is generally invested in an individual separate account. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. The Series can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Opportunity Series
6. Securities Lending (continued)
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower. The Series records security lending income net of allocations to the security lending agent and the borrower.
The Series may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of the Series’ cash collateral account may be less than the amount the Series would be required to return to the borrowers of the securities and the Series would be required to make up for this shortfall.
At June 30, 2023, the Series had no securities out on loan.
7. Credit and Market Risk
The global outbreak of COVID-19 resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the outbreak, its full economic impact and ongoing effects at the macro-level and on individual businesses are unpredictable and may result in significant and prolonged effects on a Series’ performance.
Investments in equity securities in general are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Series invests will cause the NAV of the Series to fluctuate.
The Series invests a significant portion of its assets in small- and mid-sized companies and may be subject to certain risks associated with ownership of securities of such companies. Investments in small- or mid-sized companies may be more volatile than investments in larger companies for a number of reasons, which include more limited financial resources or a dependence on narrow product lines.
The Series invests in REITs and is subject to the risks associated with that industry. If the Series holds real estate directly or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. There were no direct real estate holdings during the six months ended June 30, 2023. The Series’ REIT holdings are also affected by interest rate changes, particularly if the REITs it holds use floating rate debt to finance their ongoing operations.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended, and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. As of June 30, 2023, there were no Rule 144A securities held by the Series.
8. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
9. New Regulatory Pronouncement
In October 2022, the Securities and Exchange Commission (SEC) adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
10. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in the Series’ financial statements.
Other Series information (Unaudited)
Delaware VIP® Trust — Delaware VIP Opportunity Series
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end funds (other than money market funds) to adopt and implement a program reasonably designed to assess and manage the fund’s “liquidity risk,” defined as the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund.
The Series has adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Series in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of the Series’ liquidity risk; (2) classification of each of the Series’ portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Series’ net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting the Series’ acquisition of Illiquid investments if, immediately after the acquisition, the Series would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if the Series’ holdings of Illiquid assets exceed 15% of the Series’ net assets. Series with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing the Series’ liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) the Series’ investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Series during both normal and reasonably foreseeable stressed conditions; and (3) the Series’ holdings of cash and cash equivalents and any borrowing arrangements. Classification of the Series’ portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. The Series primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 23-25, 2023, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2022 through March 31, 2023. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and the Series’ liquidity needs. The Series’ HLIM is set at an appropriate level and the Series complied with its HLIM at all times during the reporting period.
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. The Series’ Form N-PORT, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities, is available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-PORT are available without charge on the Series’ website at delawarefunds.com/vip/literature.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Series’ website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(3031246)
SA-VIPOP-0823
Semiannual report
Delaware VIP® Trust
Delaware VIP Total Return Series
June 30, 2023
Table of contents
Macquarie Asset Management (MAM) is the asset management division of Macquarie Group. MAM is a full-service asset manager offering a diverse range of products across public and private markets including fixed income, equities, multi-asset solutions, private credit, infrastructure, renewables, natural assets, real estate, and asset finance. The Public Investments business is a part of MAM and includes the following investment advisers: Macquarie Investment Management Business Trust (MIMBT), Macquarie Investment Management Austria Kapitalanlage AG, Macquarie Investment Management Global Limited, Macquarie Investment Management Europe Limited, and Macquarie Investment Management Europe S.A.
Other than Macquarie Bank Limited ABN 46 008 583 542 (“Macquarie Bank”), any Macquarie Group entity noted in this document is not an authorized deposit-taking institution for the purposes of the Banking Act 1959 (Commonwealth of Australia). The obligations of these other Macquarie Group entities do not represent deposits or other liabilities of Macquarie Bank. Macquarie Bank does not guarantee or otherwise provide assurance in respect of the obligations of these other Macquarie Group entities. In addition, if this document relates to an investment, (a) the investor is subject to investment risk including possible delays in repayment and loss of income and principal invested and (b) none of Macquarie Bank or any other Macquarie Group entity guarantees any particular rate of return on or the performance of the investment, nor do they guarantee repayment of capital in respect of the investment.
The Series is governed by US laws and regulations.
Unless otherwise noted, views expressed herein are current as of June 30, 2023, and subject to change for events occurring after such date.
The Series is not FDIC insured and is not guaranteed. It is possible to lose the principal amount invested.
Advisory services provided by Delaware Management Company, a series of MIMBT, a US registered investment advisor.
The Series is distributed by Delaware Distributors, L.P. (DDLP), an affiliate of MIMBT and Macquarie Group Limited.
This material may be used in conjunction with the offering of shares in Delaware VIP® Total Return Series only if preceded or accompanied by the Series’ current prospectus or the summary prospectus.
© 2023 Macquarie Management Holdings, Inc.
All third-party marks cited are the property of their respective owners.
Disclosure of Series expenses
For the six-month period from January 1, 2023 to June 30, 2023 (Unaudited)
The investment objective of the Series is to seek to provide sustainable current income with potential for capital appreciation with moderate investment risk.
As a shareholder of the Series, you incur ongoing costs, which may include management fees; distribution and service (12b-1) fees; and other Series expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Series and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six-month period from January 1, 2023 to June 30, 2023.
Actual expenses
The first section of the table shown, “Actual Series return,” provides information about actual account values and actual expenses. You may use the information in this section of the table, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.
Hypothetical example for comparison purposes
The second section of the table shown, “Hypothetical 5% return,” provides information about hypothetical account values and hypothetical expenses based on the Series’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Series’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Series and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Series, you do not incur any transaction costs, such as sales charges (loads), redemption fees or exchange fees, but shareholders of other funds may incur such costs. Also, the fees related to the variable annuity investment or the deferred sales charge that could apply have not been included. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. The Series’ expenses shown in the table reflect fee waivers in effect and assume reinvestment of all dividends and distributions.
Expense analysis of an investment of $1,000
| | | Beginning
Account
Value
1/1/23 | | Ending
Account
Value
6/30/23 | | Annualized
Expense
Ratio | | Expenses
Paid
During
Period
1/1/23 to
6/30/23* |
| Actual Series return† | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,062.30 | | | 0.83% | | $ | 4.24 | |
| Service Class | | | 1,000.00 | | | | 1,061.20 | | | 1.13% | | | 5.78 | |
| Hypothetical 5% return (5% return before expenses) | | | | | | | | | | | |
| Standard Class | | $ | 1,000.00 | | | $ | 1,020.68 | | | 0.83% | | $ | 4.16 | |
| Service Class | | | 1,000.00 | | | | 1,019.19 | | | 1.13% | | | 5.66 | |
| * | “Expenses Paid During Period” are equal to the Series’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| † | Because actual returns reflect only the most recent six-month period, the returns shown may differ significantly from fiscal year returns. |
In addition to the Series’ expenses reflected above, the Series also indirectly bears its portion of the fees and expenses of any investment companies (Underlying Funds), including exchange-traded funds in which it invests. The table above does not reflect the expenses of any Underlying Funds.
Security type / sector allocations
| Delaware VIP® Trust — Delaware VIP Total Return Series | As of June 30, 2023 (Unaudited) |
Sector designations may be different from the sector designations presented in other Series materials. The sector designations may represent the investment manager’s internal sector classifications, which may result in the sector designations for one fund being different from another fund’s sector designations.
| Security type / sector | Percentage
of net assets |
| Convertible Bonds | | 8.01 | % |
| Basic Industry | | 0.15 | % |
| Brokerage | | 0.12 | % |
| Capital Goods | | 0.54 | % |
| Communications | | 0.85 | % |
| Consumer Cyclical | | 0.50 | % |
| Consumer Non-Cyclical | | 2.24 | % |
| Electric | | 0.91 | % |
| Energy | | 0.34 | % |
| Financials | | 0.55 | % |
| Industrials | | 0.02 | % |
| Real Estate Investment Trusts | | 0.25 | % |
| Technology | | 1.32 | % |
| Transportation | | 0.22 | % |
| Corporate Bonds | | 8.40 | % |
| Automotive | | 0.26 | % |
| Basic Industry | | 0.50 | % |
| Capital Goods | | 0.43 | % |
| Communications | | 0.84 | % |
| Consumer Goods | | 0.14 | % |
| Energy | | 1.44 | % |
| Financial Services | | 0.13 | % |
| Healthcare | | 0.46 | % |
| Insurance | | 0.47 | % |
| Leisure | | 0.71 | % |
| Media | | 0.90 | % |
| Real Estate | | 0.07 | % |
| Retail | | 0.46 | % |
| Services | | 0.75 | % |
| Technology & Electronics | | 0.42 | % |
| Transportation | | 0.18 | % |
| Utilities | | 0.24 | % |
| US Treasury Obligations | | 15.19 | % |
| Common Stocks | | 58.10 | % |
| Communication Services | | 2.32 | % |
| Consumer Discretionary | | 6.59 | % |
| Consumer Staples | | 5.04 | % |
| Energy | | 4.17 | % |
| Financials | | 7.96 | % |
| Healthcare | | 8.11 | % |
| Industrials | | 4.12 | % |
| Information Technology | | 15.08 | % |
| Materials | | 0.97 | % |
| REIT Diversified | | 0.22 | % |
| REIT Healthcare | | 0.06 | % |
| REIT Industrial | | 0.47 | % |
| REIT Information Technology | | 0.24 | % |
| REIT Lodging | | 0.17 | % |
| REIT Mall | | 0.14 | % |
| REIT Manufactured Housing | | 0.06 | % |
| REIT Multifamily | | 0.86 | % |
| REIT Office | | 0.06 | % |
| REIT Self-Storage | | 0.30 | % |
| REIT Shopping Center | | 0.35 | % |
| REIT Single Tenant | | 0.14 | % |
| REIT Specialty | | 0.20 | % |
| Utilities | | 0.47 | % |
| Convertible Preferred Stock | | 1.18 | % |
| Preferred Stock | | 0.13 | % |
| Exchange-Traded Funds | | 8.33 | % |
| Short-Term Investments | | 0.37 | % |
| Total Value of Securities | | 99.71 | % |
| Receivables and Other Assets Net of Liabilities | | 0.29 | % |
| Total Net Assets | | 100.00 | % |
Schedule of investments
| Delaware VIP® Trust — Delaware VIP Total Return Series | June 30, 2023 (Unaudited) |
| | | Principal
amount° | | Value (US $) |
| Convertible Bonds — 8.01% | | | | |
| Basic Industry — 0.15% | | | | | | | | |
| Ivanhoe Mines 144A 2.50% exercise price $9.31, maturity date 4/15/26 # | | | 48,000 | | | $ | 65,488 | |
| | | | | | | | 65,488 | |
| Brokerage — 0.12% | | | | | | | | |
| WisdomTree 144A 5.75% exercise price $9.54, maturity date 8/15/28 # | | | 50,000 | | | | 52,000 | |
| | | | | | | | 52,000 | |
| Capital Goods — 0.54% | | | | | | | | |
| Chart Industries 1.00% exercise price $58.73, maturity date 11/15/24 | | | 42,000 | | | | 115,353 | |
| Kaman 3.25% exercise price $65.26, maturity date 5/1/24 | | | 122,000 | | | | 118,096 | |
| | | | | | | | 233,449 | |
| Communications — 0.85% | | | | | | | | |
| Cable One 1.125% exercise price $2,275.83, maturity date 3/15/28 | | | 108,000 | | | | 81,810 | |
| DISH Network 3.375% exercise price $65.18, maturity date 8/15/26 | | | 165,000 | | | | 84,563 | |
| Liberty Broadband 144A 3.125% exercise price $529.07, maturity date 3/31/53 # | | | 155,000 | | | | 151,977 | |
| Liberty Latin America 2.00% exercise price $20.65, maturity date 7/15/24 | | | 51,000 | | | | 48,552 | |
| | | | | | | | 366,902 | |
| Consumer Cyclical — 0.50% | | | | | | | | |
| Cheesecake Factory 0.375% exercise price $75.97, maturity date 6/15/26 | | | 134,000 | | | | 113,062 | |
| Ford Motor 3.177% exercise price $15.65, maturity date 3/15/26 ^ | | | 91,000 | | | | 100,146 | |
| | | | | | | | 213,208 | |
| Consumer Non-Cyclical — 2.24% | | | | | | | | |
| BioMarin Pharmaceutical 0.599% exercise price $124.67, maturity date 8/1/24 | | | 45,000 | | | | 44,315 | |
| Chefs’ Warehouse 1.875% exercise price $44.20, maturity date 12/1/24 | | | 110,000 | | | | 117,865 | |
| Chegg 4.67% exercise price $107.55, maturity date 9/1/26 ^ | | | 122,000 | | | | 91,988 | |
| Coherus Biosciences 1.50% exercise price $19.26, maturity date 4/15/26 | | | 115,000 | | | | 71,587 | |
| CONMED 2.25% exercise price $145.33, maturity date 6/15/27 | | | 105,000 | | | | 117,705 | |
| Integer Holdings 144A 2.125% exercise price $87.20, maturity date 2/15/28 # | | | 21,000 | | | | 24,843 | |
| Integra LifeSciences Holdings 0.50% exercise price $73.67, maturity date 8/15/25 | | | 121,000 | | | | 111,078 | |
| Ionis Pharmaceuticals 0.125% exercise price $83.28, maturity date 12/15/24 | | | 99,000 | | | | 92,565 | |
| Jazz Investments I 2.00% exercise price $155.81, maturity date 6/15/26 | | | 55,000 | | | | 56,169 | |
| Lantheus Holdings 144A 2.625% exercise price $79.81, maturity date 12/15/27 # | | | 21,000 | | | | 27,312 | |
| Pacira BioSciences 0.75% exercise price $71.78, maturity date 8/1/25 | | | 115,000 | | | | 106,950 | |
| Paratek Pharmaceuticals 4.75% exercise price $15.90, maturity date 5/1/24 | | | 103,000 | | | | 101,841 | |
| | | | | | | | 964,218 | |
| Electric — 0.91% | | | | | | | | |
| Duke Energy 144A 4.125% exercise price $118.86, maturity date 4/15/26 # | | | 90,000 | | | | 88,110 | |
| FirstEnergy 144A 4.00% exercise price $46.81, maturity date 5/1/26 # | | | 70,000 | | | | 70,000 | |
| NextEra Energy Partners 144A 1.048% exercise price $75.33, maturity date 11/15/25 #, ^ | | | 45,000 | | | | 41,738 | |
| NRG Energy 2.75% exercise price $43.01, maturity date 6/1/48 | | | 95,000 | | | | 100,747 | |
| Ormat Technologies 144A 2.50% exercise price $90.27, maturity date 7/15/27 # | | | 83,000 | | | | 90,013 | |
| | | | | | | | 390,608 | |
Schedule of investments
Delaware VIP® Trust — Delaware VIP Total Return Series
| | | Principal
amount° | | Value (US $) |
| Convertible Bonds (continued) | | | | |
| Energy — 0.34% | | | | | | | | |
| Helix Energy Solutions Group 6.75% exercise price $6.97, maturity date 2/15/26 | | | 110,000 | | | $ | 145,860 | |
| | | | | | | | 145,860 | |
| Financials — 0.55% | | | | | | | | |
| FTI Consulting 2.00% exercise price $101.38, maturity date 8/15/23 | | | 63,000 | | | | 118,660 | |
| Repay Holdings 144A 2.007% exercise price $33.60, maturity date 2/1/26 #, ^ | | | 141,000 | | | | 115,705 | |
| | | | | | | | 234,365 | |
| Industrials — 0.02% | | | | | | | | |
| Danimer Scientific 144A 3.25% exercise price $10.79, maturity date 12/15/26 # | | | 25,000 | | | | 10,470 | |
| | | | | | | | 10,470 | |
| Real Estate Investment Trusts — 0.25% | | | | | | | | |
| Summit Hotel Properties 1.50% exercise price $11.72, maturity date 2/15/26 | | | 125,000 | | | | 106,805 | |
| | | | | | | | 106,805 | |
| Technology — 1.32% | | | | | | | | |
| Block 0.125% exercise price $121.01, maturity date 3/1/25 | | | 59,000 | | | | 55,903 | |
| InterDigital 3.50% exercise price $77.49, maturity date 6/1/27 | | | 119,000 | | | | 161,017 | |
| Palo Alto Networks 0.75% exercise price $88.78, maturity date 7/1/23 | | | 69,000 | | | | 188,163 | |
| Semtech 144A 1.625% exercise price $37.27, maturity date 11/1/27 # | | | 54,000 | | | | 50,517 | |
| Wolfspeed 0.25% exercise price $127.22, maturity date 2/15/28 | | | 146,000 | | | | 112,566 | |
| | | | | | | | 568,166 | |
| Transportation — 0.22% | | | | | | | | |
| Spirit Airlines 1.00% exercise price $42.36, maturity date 5/15/26 | | | 116,000 | | | | 94,308 | |
| | | | | | | | 94,308 | |
Total Convertible Bonds
(cost $3,299,798) | | | | | | | 3,445,847 | |
| | | | | | | | | |
| Corporate Bonds — 8.40% | | | | |
| Automotive — 0.26% | | | | | | | | |
| Allison Transmission 144A 5.875% 6/1/29 # | | | 80,000 | | | | 78,100 | |
| Ford Motor 4.75% 1/15/43 | | | 15,000 | | | | 11,548 | |
| Goodyear Tire & Rubber 5.25% 7/15/31 | | | 25,000 | | | | 21,746 | |
| | | | | | | | 111,394 | |
| Basic Industry — 0.50% | | | | | | | | |
| Avient 144A 5.75% 5/15/25 # | | | 17,000 | | | | 16,809 | |
| Chemours 144A 5.75% 11/15/28 # | | | 35,000 | | | | 32,195 | |
| CP Atlas Buyer 144A 7.00% 12/1/28 # | | | 15,000 | | | | 11,792 | |
| FMG Resources August 2006 144A 5.875% 4/15/30 # | | | 25,000 | | | | 23,835 | |
| Freeport-McMoRan 5.45% 3/15/43 | | | 62,000 | | | | 57,895 | |
| Novelis 144A 4.75% 1/30/30 # | | | 35,000 | | | | 31,138 | |
| Olin 5.00% 2/1/30 | | | 20,000 | | | | 18,500 | |
| Standard Industries 144A 3.375% 1/15/31 # | | | 29,000 | | | | 23,378 | |
| | | | | | | | 215,542 | |
| Capital Goods — 0.43% | | | | | | | | |
| Bombardier | | | | | | | | |
| 144A 6.00% 2/15/28 # | | | 25,000 | | | | 23,658 | |
| 144A 7.50% 2/1/29 # | | | 5,000 | | | | 4,948 | |
| Clydesdale Acquisition Holdings 144A 8.75% 4/15/30 # | | | 10,000 | | | | 8,838 | |
| Mauser Packaging Solutions Holding | | | | | | | | |
| 144A 7.875% 8/15/26 # | | | 35,000 | | | | 34,811 | |
| 144A 9.25% 4/15/27 # | | | 10,000 | | | | 9,242 | |
| Roller Bearing Co. of America 144A 4.375% 10/15/29 # | | | 27,000 | | | | 24,223 | |
| Sealed Air 144A 5.00% 4/15/29 # | | | 40,000 | | | | 37,261 | |
| TransDigm 144A 6.25% 3/15/26 # | | | 40,000 | | | | 39,840 | |
| | | | | | | | 182,821 | |
| Communications — 0.84% | | | | | | | | |
| Altice France 144A 5.50% 10/15/29 # | | | 35,000 | | | | 25,065 | |
| Connect Finco 144A 6.75% 10/1/26 # | | | 200,000 | | | | 194,444 | |
| Consolidated Communications | | | | | | | | |
| 144A 5.00% 10/1/28 # | | | 25,000 | | | | 18,790 | |
| 144A 6.50% 10/1/28 # | | | 25,000 | | | | 19,750 | |
| Frontier Communications Holdings | | | | | | | | |
| 144A 5.875% 10/15/27 # | | | 55,000 | | | | 50,531 | |
| 144A 6.75% 5/1/29 # | | | 20,000 | | | | 15,537 | |
| Northwest Fiber 144A 4.75% 4/30/27 # | | | 40,000 | | | | 35,364 | |
| | | | | | | | 359,481 | |
| | | Principal
amount° | | Value (US $) |
| Corporate Bonds (continued) | | | | | | |
| Consumer Goods — 0.14% | | | | | | | | |
| Pilgrim’s Pride 4.25% 4/15/31 | | | 25,000 | | | $ | 21,462 | |
| Post Holdings 144A 5.50% 12/15/29 # | | | 43,000 | | | | 39,733 | |
| | | | | | | | 61,195 | |
| Energy — 1.44% | | | | | | | | |
| Ascent Resources Utica Holdings | | | | | | | | |
| 144A 5.875% 6/30/29 # | | | 35,000 | | | | 31,261 | |
| 144A 7.00% 11/1/26 # | | | 20,000 | | | | 19,377 | |
| Callon Petroleum | | | | | | | | |
| 144A 7.50% 6/15/30 # | | | 5,000 | | | | 4,724 | |
| 144A 8.00% 8/1/28 # | | | 30,000 | | | | 29,697 | |
| CNX Midstream Partners 144A 4.75% 4/15/30 # | | | 15,000 | | | | 12,738 | |
| CNX Resources 144A 6.00% 1/15/29 # | | | 35,000 | | | | 32,476 | |
| Crestwood Midstream Partners | | | | | | | | |
| 144A 5.625% 5/1/27 # | | | 11,000 | | | | 10,439 | |
| 144A 6.00% 2/1/29 # | | | 31,000 | | | | 28,978 | |
| EQM Midstream Partners | | | | | | | | |
| 144A 4.75% 1/15/31 # | | | 43,000 | | | | 37,717 | |
| 6.50% 7/15/48 | | | 15,000 | | | | 13,588 | |
| Genesis Energy | | | | | | | | |
| 7.75% 2/1/28 | | | 60,000 | | | | 57,139 | |
| 8.00% 1/15/27 | | | 35,000 | | | | 34,164 | |
| Hilcorp Energy I | | | | | | | | |
| 144A 6.00% 4/15/30 # | | | 25,000 | | | | 22,790 | |
| 144A 6.00% 2/1/31 # | | | 5,000 | | | | 4,476 | |
| 144A 6.25% 4/15/32 # | | | 15,000 | | | | 13,393 | |
| Murphy Oil 6.375% 7/15/28 | | | 65,000 | | | | 64,130 | |
| NuStar Logistics | | | | | | | | |
| 5.625% 4/28/27 | | | 30,000 | | | | 28,854 | |
| 6.00% 6/1/26 | | | 10,000 | | | | 9,750 | |
| PDC Energy 5.75% 5/15/26 | | | 43,000 | | | | 42,867 | |
| Southwestern Energy | | | | | | | | |
| 5.375% 2/1/29 | | | 5,000 | | | | 4,713 | |
| 5.375% 3/15/30 | | | 35,000 | | | | 32,695 | |
| USA Compression Partners | | | | | | | | |
| 6.875% 4/1/26 | | | 12,000 | | | | 11,766 | |
| 6.875% 9/1/27 | | | 22,000 | | | | 21,030 | |
| Vital Energy 144A 7.75% 7/31/29 # | | | 20,000 | | | | 16,519 | |
| Weatherford International 144A 8.625% 4/30/30 # | | | 35,000 | | | | 35,566 | |
| | | | | | | | 620,847 | |
| Financial Services — 0.13% | | | | | | | | |
| Castlelake Aviation Finance DAC 144A 5.00% 4/15/27 # | | | 35,000 | | | | 31,025 | |
| MSCI 144A 3.625% 11/1/31 # | | | 30,000 | | | | 25,641 | |
| | | | | | | | 56,666 | |
| Healthcare — 0.46% | | | | | | | | |
| Avantor Funding 144A 3.875% 11/1/29 # | | | 20,000 | | | | 17,529 | |
| Bausch Health 144A 11.00% 9/30/28 # | | | 20,000 | | | | 14,256 | |
| CHS 144A 4.75% 2/15/31 # | | | 30,000 | | | | 22,707 | |
| DaVita | | | | | | | | |
| 144A 3.75% 2/15/31 # | | | 10,000 | | | | 8,008 | |
| 144A 4.625% 6/1/30 # | | | 30,000 | | | | 25,788 | |
| Heartland Dental 144A 8.50% 5/1/26 # | | | 40,000 | | | | 35,884 | |
| Medline Borrower 144A 3.875% 4/1/29 # | | | 20,000 | | | | 17,400 | |
| ModivCare Escrow Issuer 144A 5.00% 10/1/29 # | | | 6,000 | | | | 4,446 | |
| Tenet Healthcare | | | | | | | | |
| 4.375% 1/15/30 | | | 15,000 | | | | 13,550 | |
| 6.125% 10/1/28 | | | 40,000 | | | | 38,546 | |
| | | | | | | | 198,114 | |
| Insurance — 0.47% | | | | | | | | |
| HUB International 144A 5.625% 12/1/29 # | | | 50,000 | | | | 44,906 | |
| Jones Deslauriers Insurance Management | | | | | | | | |
| 144A 8.50% 3/15/30 # | | | 35,000 | | | | 35,747 | |
| 144A 10.50% 12/15/30 # | | | 35,000 | | | | 35,312 | |
| NFP | | | | | | | | |
| 144A 6.875% 8/15/28 # | | | 25,000 | | | | 21,736 | |
| 144A 7.50% 10/1/30 # | | | 10,000 | | | | 9,691 | |
| USI 144A 6.875% 5/1/25 # | | | 55,000 | | | | 54,659 | |
| | | | | | | | 202,051 | |
| Leisure — 0.71% | | | | | | | | |
| Boyd Gaming | | | | | | | | |
| 4.75% 12/1/27 | | | 35,000 | | | | 33,193 | |
| 144A 4.75% 6/15/31 # | | | 25,000 | | | | 22,360 | |
| Caesars Entertainment 144A 8.125% 7/1/27 # | | | 21,000 | | | | 21,516 | |
| Carnival | | | | | | | | |
| 144A 5.75% 3/1/27 # | | | 75,000 | | | | 69,114 | |
| 144A 7.625% 3/1/26 # | | | 40,000 | | | | 39,213 | |
| Royal Caribbean Cruises 144A 5.50% 4/1/28 # | | | 75,000 | | | | 70,015 | |
| Scientific Games Holdings 144A 6.625% 3/1/30 # | | | 30,000 | | | | 26,428 | �� |
| Scientific Games International 144A 7.25% 11/15/29 # | | | 25,000 | | | | 25,054 | |
| | | | | | | | 306,893 | |
| Media — 0.90% | | | | | | | | |
| AMC Networks 4.25% 2/15/29 | | | 25,000 | | | | 13,467 | |
Schedule of investments
Delaware VIP® Trust — Delaware VIP Total Return Series
| | | Principal
amount° | | Value (US $) |
| Corporate Bonds (continued) | | | | | | |
| Media (continued) | | | | | | | | |
| CCO Holdings | | | | | | | | |
| 4.50% 5/1/32 | | | 90,000 | | | $ | 71,949 | |
| 144A 5.375% 6/1/29 # | | | 30,000 | | | | 27,151 | |
| CMG Media 144A 8.875% 12/15/27 # | | | 35,000 | | | | 24,584 | |
| CSC Holdings 144A 5.75% 1/15/30 # | | | 200,000 | | | | 94,717 | |
| Cumulus Media New Holdings 144A 6.75% 7/1/26 # | | | 36,000 | | | | 24,790 | |
| Directv Financing 144A 5.875% 8/15/27 # | | | 25,000 | | | | 22,670 | |
| DISH DBS 144A 5.75% 12/1/28 # | | | 30,000 | | | | 22,370 | |
| Gray Escrow II 144A 5.375% 11/15/31 # | | | 50,000 | | | | 33,195 | |
| Sirius XM Radio 144A 4.00% 7/15/28 # | | | 60,000 | | | | 52,196 | |
| | | | | | | | 387,089 | |
| Real Estate — 0.07% | | | | | | | | |
| VICI Properties 144A 3.875% 2/15/29 # | | | 35,000 | | | | 30,746 | |
| | | | | | | | 30,746 | |
| Retail — 0.46% | | | | | | | | |
| Asbury Automotive Group | | | | | | | | |
| 144A 4.625% 11/15/29 # | | | 30,000 | | | | 26,662 | |
| 4.75% 3/1/30 | | | 15,000 | | | | 13,346 | |
| Bath & Body Works | | | | | | | | |
| 6.875% 11/1/35 | | | 35,000 | | | | 32,078 | |
| 6.95% 3/1/33 | | | 29,000 | | | | 26,054 | |
| LSF9 Atlantis Holdings 144A 7.75% 2/15/26 # | | | 29,000 | | | | 27,032 | |
| Michaels | | | | | | | | |
| 144A 5.25% 5/1/28 # | | | 15,000 | | | | 12,135 | |
| 144A 7.875% 5/1/29 # | | | 10,000 | | | | 6,750 | |
| Murphy Oil USA 144A 3.75% 2/15/31 # | | | 65,000 | | | | 54,541 | |
| | | | | | | | 198,598 | |
| Services — 0.75% | | | | | | | | |
| CDW 3.569% 12/1/31 | | | 35,000 | | | | 29,584 | |
| Iron Mountain 144A 5.25% 3/15/28 # | | | 55,000 | | | | 51,480 | |
| Prime Security Services Borrower 144A 5.75% 4/15/26 # | | | 65,000 | | | | 63,864 | |
| Staples 144A 7.50% 4/15/26 # | | | 35,000 | | | | 28,954 | |
| United Rentals North America 3.875% 2/15/31 | | | 91,000 | | | | 78,870 | |
| Univar Solutions USA 144A 5.125% 12/1/27 # | | | 25,000 | | | | 25,580 | |
| White Cap Buyer 144A 6.875% 10/15/28 # | | | 32,000 | | | | 29,043 | |
| White Cap Parent 144A PIK 8.25% 3/15/26 #, > | | | 15,000 | | | | 14,385 | |
| | | | | | | | 321,760 | |
| Technology & Electronics — 0.42% | | | | | | | | |
| Clarios Global 144A 8.50% 5/15/27 # | | | 28,000 | | | | 28,098 | |
| CommScope 144A 8.25% 3/1/27 # | | | 10,000 | | | | 8,014 | |
| CommScope Technologies 144A 6.00% 6/15/25 # | | | 20,000 | | | | 18,667 | |
| Entegris Escrow | | | | | | | | |
| 144A 4.75% 4/15/29 # | | | 11,000 | | | | 10,222 | |
| 144A 5.95% 6/15/30 # | | | 30,000 | | | | 28,789 | |
| Micron Technology 5.875% 9/15/33 | | | 20,000 | | | | 19,829 | |
| Seagate HDD Cayman | | | | | | | | |
| 5.75% 12/1/34 | | | 8,000 | | | | 7,107 | |
| 144A 8.25% 12/15/29 # | | | 10,000 | | | | 10,454 | |
| Sensata Technologies 144A 4.00% 4/15/29 # | | | 10,000 | | | | 8,912 | |
| SS&C Technologies 144A 5.50% 9/30/27 # | | | 40,000 | | | | 38,346 | |
| | | | | | | | 178,438 | |
| Transportation — 0.18% | | | | | | | | |
| American Airlines 144A 5.75% 4/20/29 # | | | 20,846 | | | | 20,260 | |
| Delta Air Lines 7.375% 1/15/26 | | | 24,000 | | | | 25,041 | |
| United Airlines | | | | | | | | |
| 144A 4.375% 4/15/26 # | | | 15,000 | | | | 14,265 | |
| 144A 4.625% 4/15/29 # | | | 20,000 | | | | 18,241 | |
| | | | | | | | 77,807 | |
| Utilities — 0.24% | | | | | | | | |
| Calpine | | | | | | | | |
| 144A 4.50% 2/15/28 # | | | 16,000 | | | | 14,501 | |
| 144A 5.00% 2/1/31 # | | | 35,000 | | | | 28,992 | |
| 144A 5.25% 6/1/26 # | | | 16,000 | | | | 15,466 | |
| Vistra | | | | | | | | |
| 144A 7.00% 12/15/26 #, µ, ψ | | | 35,000 | | | | 30,577 | |
| 144A 8.00% 10/15/26 #, µ, ψ | | | 15,000 | | | | 14,042 | |
| | | | | | | | 103,578 | |
Total Corporate Bonds
(cost $3,825,923) | | | | | | | 3,613,020 | |
| |
| US Treasury Obligations — 15.19% | | | | | | | | |
| US Treasury Bonds | | | | | | | | |
| 1.375% 8/15/50 | | | 220,000 | | | | 127,965 | |
| 1.875% 2/15/51 | | | 200,000 | | | | 132,531 | |
| 2.25% 8/15/49 | | | 165,000 | | | | 119,986 | |
| 2.50% 2/15/45 | | | 25,000 | | | | 19,369 | |
| 2.50% 2/15/46 | | | 20,000 | | | | 15,407 | |
| 2.875% 5/15/43 | | | 90,000 | | | | 75,336 | |
| | | Principal
amount° | | Value (US $) |
| US Treasury Obligations (continued) | | | | | | |
| US Treasury Bonds | | | | | | | | |
| 3.00% 5/15/42 | | | 65,000 | | | $ | 55,910 | |
| 3.00% 2/15/47 | | | 20,000 | | | | 16,853 | |
| 3.00% 8/15/48 | | | 150,000 | | | | 126,648 | |
| 3.00% 8/15/52 | | | 5,000 | | | | 4,253 | |
| 3.125% 11/15/41 | | | 165,000 | | | | 145,393 | |
| 3.375% 5/15/44 | | | 15,000 | | | | 13,532 | |
| 3.625% 2/15/53 | | | 170,000 | | | | 163,200 | |
| 3.875% 2/15/43 | | | 70,000 | | | | 68,272 | |
| 4.25% 11/15/40 | | | 130,000 | | | | 135,284 | |
| 4.375% 11/15/39 | | | 35,000 | | | | 37,096 | |
| 4.50% 5/15/38 | | | 15,000 | | | | 16,169 | |
| 5.00% 5/15/37 | | | 5,000 | | | | 5,667 | |
| US Treasury Floating Rate Notes 5.418% (USBMMY3M + 0.17%) 4/30/25 • | | | 170,000 | | | | 170,140 | |
| US Treasury Notes | | | | | | | | |
| 0.625% 12/31/27 | | | 425,000 | | | | 363,251 | |
| 1.00% 7/31/28 | | | 485,000 | | | | 416,058 | |
| 1.125% 2/15/31 | | | 100,000 | | | | 82,262 | |
| 1.50% 2/15/30 | | | 280,000 | | | | 239,892 | |
| 2.75% 2/15/24 | | | 320,000 | | | | 314,760 | |
| 3.375% 5/15/33 | | | 30,000 | | | | 28,936 | |
| 3.50% 4/15/26 | | | 1,150,000 | | | | 1,125,697 | |
| 3.50% 1/31/30 | | | 105,000 | | | | 101,912 | |
| 3.625% 4/30/28 | | | 285,000 | | | | 276,973 | |
| 3.875% 4/30/25 | | | 115,000 | | | | 112,772 | |
| 4.00% 6/30/28 | | | 260,000 | | | | 258,598 | |
| 4.00% 10/31/29 | | | 210,000 | | | | 209,500 | |
| 4.125% 6/15/26 | | | 510,000 | | | | 504,900 | |
| 4.125% 11/15/32 | | | 235,000 | | | | 240,177 | |
| 4.375% 10/31/24 | | | 355,000 | | | | 350,777 | |
| 4.625% 6/30/25 | | | 185,000 | | | | 184,165 | |
| 5.375% 2/15/31 | | | 255,000 | | | | 279,474 | |
Total US Treasury Obligations
(cost $7,096,767) | | | | | | | 6,539,115 | |
| | | | | | | | | |
| | | Number of shares | | | | | |
| Common Stocks — 58.10% | | | | | | | | |
| Communication Services — 2.32% | | | | | | | | |
| AT&T | | | 4,273 | | | | 68,154 | |
| Comcast Class A | | | 4,883 | | | | 202,889 | |
| Interpublic Group | | | 711 | | | | 27,430 | |
| KDDI | | | 1,000 | | | | 30,883 | |
| Orange | | | 5,010 | | | | 58,549 | |
| Publicis Groupe | | | 470 | | | | 37,720 | |
| Verizon Communications | | | 9,977 | | | | 371,045 | |
| Walt Disney † | | | 2,242 | | | | 200,166 | |
| | | | | | | | 996,836 | |
| Consumer Discretionary — 6.59% | | | | | | |
| adidas AG | | | 540 | | | | 104,829 | |
| Amadeus IT Group † | | | 1,343 | | | | 102,270 | |
| Bath & Body Works | | | 4,123 | | | | 154,613 | |
| Best Buy | | | 1,874 | | | | 153,574 | |
| eBay | | | 1,482 | | | | 66,231 | |
| H & M Hennes & Mauritz Class B | | | 3,210 | | | | 55,203 | |
| Home Depot | | | 1,004 | | | | 311,883 | |
| Kering | | | 74 | | | | 40,863 | |
| Lowe’s | | | 2,097 | | | | 473,293 | |
| Macy’s | | | 1,836 | | | | 29,468 | |
| NIKE Class B | | | 1,436 | | | | 158,491 | |
| PulteGroup | | | 1,262 | | | | 98,032 | |
| Ross Stores | | | 1,748 | | | | 196,003 | |
| Sodexo | | | 864 | | | | 95,141 | |
| Starbucks | | | 969 | | | | 95,989 | |
| Sturm Ruger & Co. | | | 588 | | | | 31,140 | |
| Swatch Group | | | 190 | | | | 55,555 | |
| TJX | | | 5,104 | | | | 432,768 | |
| Tractor Supply | | | 816 | | | | 180,418 | |
| | | | | | | | 2,835,764 | |
| Consumer Staples — 5.04% | | | | | | | | |
| Altria Group | | | 4,426 | | | | 200,498 | |
| Archer-Daniels-Midland | | | 2,500 | | | | 188,900 | |
| Asahi Group Holdings | | | 600 | | | | 23,280 | |
| Conagra Brands | | | 5,600 | | | | 188,832 | |
| Danone | | | 1,893 | | | | 116,009 | |
| Diageo | | | 2,918 | | | | 125,448 | |
| Dollar General | | | 951 | | | | 161,461 | |
| Dollar Tree † | | | 1,300 | | | | 186,550 | |
| Essity Class B | | | 3,126 | | | | 83,250 | |
| Kao | | | 1,800 | | | | 65,322 | |
| Koninklijke Ahold Delhaize | | | 4,278 | | | | 145,850 | |
| Medifast | | | 1,485 | | | | 136,857 | |
| Nestle | | | 990 | | | | 119,089 | |
| Philip Morris International | | | 2,408 | | | | 235,069 | |
| Seven & i Holdings | | | 600 | | | | 25,921 | |
| Unilever | | | 2,234 | | | | 116,334 | |
| Vector Group | | | 4,081 | | | | 52,278 | |
| | | | | | | | 2,170,948 | |
| Energy — 4.17% | | | | | | | | |
| APA | | | 3,290 | | | | 112,419 | |
| Cheniere Energy | | | 1,022 | | | | 155,712 | |
| Chevron | | | 927 | | | | 145,863 | |
| ConocoPhillips | | | 3,777 | | | | 391,335 | |
| Coterra Energy | | | 4,689 | | | | 118,632 | |
| EOG Resources | | | 852 | | | | 97,503 | |
| Exxon Mobil | | | 3,482 | | | | 373,444 | |
| Kinder Morgan | | | 4,630 | | | | 79,729 | |
| Marathon Petroleum | | | 1,598 | | | | 186,327 | |
Schedule of investments
Delaware VIP® Trust — Delaware VIP Total Return Series
| | | Number of
shares | | | Value (US $) |
| Common Stocks (continued) | | | | | | |
| Energy (continued) | | | | | | | | |
| Texas Pacific Land | | | 26 | | | $ | 34,229 | |
| Viper Energy Partners | | | 1,810 | | | | 48,562 | |
| Williams | | | 1,501 | | | | 48,978 | |
| | | | | | | | 1,792,733 | |
| Financials — 7.96% | | | | | | | | |
| Allstate | | | 1,700 | | | | 185,368 | |
| Ally Financial | | | 2,943 | | | | 79,490 | |
| American International Group | | | 3,400 | | | | 195,636 | |
| Ameriprise Financial | | | 587 | | | | 194,978 | |
| Bank of New York Mellon | | | 2,587 | | | | 115,173 | |
| BlackRock | | | 309 | | | | 213,562 | |
| Blackstone | | | 2,000 | | | | 185,940 | |
| Carlyle Group | | | 2,713 | | | | 86,680 | |
| Discover Financial Services | | | 578 | | | | 67,539 | |
| East West Bancorp | | | 1,848 | | | | 97,556 | |
| Fidelity National Financial | | | 2,364 | | | | 85,104 | |
| Fidelity National Information Services | | | 3,564 | | | | 194,951 | |
| Fifth Third Bancorp | | | 4,588 | | | | 120,252 | |
| Invesco | | | 5,021 | | | | 84,403 | |
| Jackson Financial Class A | | | 4,000 | | | | 122,440 | |
| MetLife | | | 3,512 | | | | 198,533 | |
| PNC Financial Services Group | | | 317 | | | | 39,926 | |
| Principal Financial Group | | | 2,336 | | | | 177,162 | |
| Prudential Financial | | | 2,276 | | | | 200,789 | |
| S&P Global | | | 68 | | | | 27,261 | |
| State Street | | | 1,376 | | | | 100,696 | |
| Synchrony Financial | | | 3,659 | | | | 124,113 | |
| Truist Financial | | | 6,300 | | | | 191,205 | |
| US Bancorp | | | 6,000 | | | | 198,240 | |
| Western Union | | | 11,790 | | | | 138,297 | |
| | | | | | | | 3,425,294 | |
| Healthcare — 8.11% | | | | | | | | |
| AbbVie | | | 1,783 | | | | 240,224 | |
| AmerisourceBergen | | | 1,192 | | | | 229,377 | |
| Amgen | | | 186 | | | | 41,296 | |
| Baxter International | | | 4,400 | | | | 200,464 | |
| Bristol-Myers Squibb | | | 3,050 | | | | 195,047 | |
| Cardinal Health | | | 1,179 | | | | 111,498 | |
| CareTrust REIT | | | 452 | | | | 8,977 | |
| Cigna Group | | | 700 | | | | 196,420 | |
| CVS Health | | | 2,700 | | | | 186,651 | |
| Fresenius Medical Care AG & Co. | | | 719 | | | | 34,362 | |
| Gilead Sciences | | | 2,280 | | | | 175,720 | |
| Healthpeak Properties | | | 271 | | | | 5,447 | |
| Hologic † | | | 2,442 | | | | 197,729 | |
| Johnson & Johnson | | | 2,599 | | | | 430,186 | |
| McKesson | | | 222 | | | | 94,863 | |
| Medical Properties Trust | | | 157 | | | | 1,454 | |
| Merck & Co. | | | 4,446 | | | | 513,024 | |
| Novo Nordisk Class B | | | 380 | | | | 61,385 | |
| Pfizer | | | 5,014 | | | | 183,913 | |
| Roche Holding | | | 305 | | | | 93,168 | |
| Smith & Nephew | | | 7,711 | | | | 124,404 | |
| UnitedHealth Group | | | 212 | | | | 101,896 | |
| Ventas | | | 231 | | | | 10,919 | |
| Welltower | | | 618 | | | | 49,990 | |
| | | | | | | | 3,488,414 | |
| Industrials — 4.12% | | | | | | | | |
| Dover | | | 1,341 | | | | 197,999 | |
| Expeditors International of Washington | | | 1,205 | | | | 145,962 | |
| Honeywell International | | | 986 | | | | 204,595 | |
| Intertek Group | | | 1,215 | | | | 65,862 | |
| Knorr-Bremse | | | 730 | | | | 55,804 | |
| Lockheed Martin | | | 109 | | | | 50,181 | |
| Makita | | | 2,500 | | | | 70,666 | |
| Masco | | | 1,024 | | | | 58,757 | |
| Northrop Grumman | | | 450 | | | | 205,110 | |
| Otis Worldwide | | | 872 | | | | 77,617 | |
| Paychex | | | 1,761 | | | | 197,003 | |
| Raytheon Technologies | | | 2,039 | | | | 199,740 | |
| Robert Half International | | | 2,068 | | | | 155,555 | |
| Securitas Class B | | | 10,760 | | | | 88,380 | |
| | | | | | | | 1,773,231 | |
| Information Technology — 15.08% | | | | | | | | |
| Accenture Class A | | | 473 | | | | 145,958 | |
| Apple | | | 7,237 | | | | 1,403,761 | |
| Applied Materials | | | 881 | | | | 127,340 | |
| Broadcom | | | 637 | | | | 552,553 | |
| Cisco Systems | | | 7,763 | | | | 401,658 | |
| Cognizant Technology Solutions Class A | | | 3,178 | | | | 207,460 | |
| Dell Technologies Class C | | | 3,110 | | | | 168,282 | |
| HP | | | 6,348 | | | | 194,947 | |
| KLA | | | 312 | | | | 151,326 | |
| Lam Research | | | 354 | | | | 227,572 | |
| Microchip Technology | | | 336 | | | | 30,102 | |
| Microsoft | | | 3,343 | | | | 1,138,425 | |
| Monolithic Power Systems | | | 385 | | | | 207,989 | |
| Motorola Solutions | | | 700 | | | | 205,296 | |
| NetApp | | | 2,679 | | | | 204,676 | |
| NVIDIA | | | 1,442 | | | | 609,995 | |
| Oracle | | | 1,600 | | | | 190,544 | |
| QUALCOMM | | | 1,713 | | | | 203,916 | |
| SAP | | | 870 | | | | 118,848 | |
| | | | | | | | 6,490,648 | |
| | | Number of
shares | | Value (US $) |
| Common Stocks (continued) | | | | | | |
| Materials — 0.97% | | | | | | | | |
| Air Liquide | | | 589 | | | $ | 105,629 | |
| Dow | | | 2,105 | | | | 112,112 | |
| DuPont de Nemours | | | 2,800 | | | | 200,032 | |
| | | | | | | | 417,773 | |
| REIT Diversified — 0.22% | | | | | | | | |
| Gaming and Leisure Properties | | | 635 | | | | 30,772 | |
| LXP Industrial Trust | | | 879 | | | | 8,570 | |
| VICI Properties | | | 1,758 | | | | 55,254 | |
| | | | | | | | 94,596 | |
| REIT Healthcare — 0.06% | | | | | | | | |
| Alexandria Real Estate Equities | | | 245 | | | | 27,805 | |
| | | | | | | | 27,805 | |
| REIT Industrial — 0.47% | | | | | | | | |
| Plymouth Industrial REIT | | | 159 | | | | 3,660 | |
| Prologis | | | 1,307 | | | | 160,277 | |
| Rexford Industrial Realty | | | 526 | | | | 27,468 | |
| Terreno Realty | | | 206 | | | | 12,381 | |
| | | | | | | | 203,786 | |
| REIT Information Technology — 0.24% | | | | | | | | |
| Digital Realty Trust | | | 234 | | | | 26,646 | |
| Equinix | | | 96 | | | | 75,258 | |
| | | | | | | | 101,904 | |
| REIT Lodging — 0.17% | | | | | | | | |
| Apple Hospitality REIT | | | 1,370 | | | | 20,701 | |
| Chatham Lodging Trust | | | 1,094 | | | | 10,240 | |
| Host Hotels & Resorts | | | 1,370 | | | | 23,057 | |
| Park Hotels & Resorts | | | 682 | | | | 8,743 | |
| Ryman Hospitality Properties | | | 119 | | | | 11,057 | |
| | | | | | | | 73,798 | |
| REIT Mall — 0.14% | | | | | | | | |
| Simon Property Group | | | 538 | | | | 62,128 | |
| | | | | | | | 62,128 | |
| REIT Manufactured Housing — 0.06% | | | | | | | | |
| Equity LifeStyle Properties | | | 174 | | | | 11,639 | |
| Sun Communities | | | 111 | | | | 14,481 | |
| | | | | | | | 26,120 | |
| REIT Multifamily — 0.86% | | | | | | | | |
| American Homes 4 Rent Class A | | | 463 | | | | 16,413 | |
| AvalonBay Communities | | | 168 | | | | 31,797 | |
| Camden Property Trust | | | 188 | | | | 20,468 | |
| Equity Residential | | | 3,540 | | | | 233,534 | |
| Essex Property Trust | | | 139 | | | | 32,568 | |
| Independence Realty Trust | | | 611 | | | | 11,132 | |
| Mid-America Apartment | | | | | | | | |
| Communities | | | 128 | | | | 19,438 | |
| UDR | | | 113 | | | | 4,855 | |
| | | | | | | | 370,205 | |
| REIT Office — 0.06% | | | | | | | | |
| City Office REIT | | | 119 | | | | 663 | |
| Cousins Properties | | | 548 | | | | 12,494 | |
| Highwoods Properties | | | 22 | | | | 526 | |
| Kilroy Realty | | | 184 | | | | 5,537 | |
| Piedmont Office Realty Trust Class A | | | 870 | | | | 6,325 | |
| | | | | | | | 25,545 | |
| REIT Self-Storage — 0.30% | | | | | | | | |
| CubeSmart | | | 204 | | | | 9,110 | |
| Extra Space Storage | | | 89 | | | | 13,248 | |
| Life Storage | | | 230 | | | | 30,581 | |
| National Storage Affiliates Trust | | | 184 | | | | 6,409 | |
| Public Storage | | | 239 | | | | 69,759 | |
| | | | | | | | 129,107 | |
| REIT Shopping Center — 0.35% | | | | | | | | |
| Agree Realty | | | 359 | | | | 23,475 | |
| Brixmor Property Group | | | 1,204 | | | | 26,488 | |
| Kimco Realty | | | 1,056 | | | | 20,824 | |
| Kite Realty Group Trust | | | 326 | | | | 7,283 | |
| Phillips Edison & Co. | | | 526 | | | | 17,926 | |
| Regency Centers | | | 364 | | | | 22,484 | |
| Retail Opportunity Investments | | | 1,335 | | | | 18,036 | |
| SITE Centers | | | 768 | | | | 10,153 | |
| Urban Edge Properties | | | 277 | | | | 4,274 | |
| | | | | | | | 150,943 | |
| REIT Single Tenant — 0.14% | | | | | | | | |
| Four Corners Property Trust | | | 283 | | | | 7,188 | |
| Realty Income | | | 550 | | | | 32,885 | |
| Spirit Realty Capital | | | 481 | | | | 18,942 | |
| | | | | | | | 59,015 | |
| REIT Specialty — 0.20% | | | | | | | | |
| EPR Properties | | | 167 | | | | 7,816 | |
| Essential Properties Realty Trust | | | 584 | | | | 13,747 | |
| Invitation Homes | | | 1,159 | | | | 39,870 | |
| Iron Mountain | | | 60 | | | | 3,409 | |
| Lamar Advertising Class A | | | 82 | | | | 8,138 | |
| Outfront Media | | | 548 | | | | 8,615 | |
| WP Carey | | | 88 | | | | 5,945 | |
| | | | | | | | 87,540 | |
| Utilities — 0.47% | | | | | | | | |
| Edison International | | | 2,900 | | | | 201,405 | |
| | | | | | | | 201,405 | |
Total Common Stocks
(cost $22,571,639) | | | | | | | 25,005,538 | |
Schedule of investments
Delaware VIP® Trust — Delaware VIP Total Return Series
| | | Number of
shares | | Value (US $) |
| Convertible Preferred Stock — 1.18% | | | | | | |
| Algonquin Power & Utilities 7.75% exercise price $18.00, maturity date 6/15/24 | | | 815 | | | $ | 24,042 | |
| AMG Capital Trust II 5.15% exercise price $195.47, maturity date 10/15/37 | | | 702 | | | | 35,584 | |
| Bank of America 7.25% exercise price $50.00 ω | | | 63 | | | | 73,825 | |
| El Paso Energy Capital Trust I 4.75% exercise price $34.49, maturity date 3/31/28 | | | 2,164 | | | | 100,518 | |
| Lyondellbasell Advanced Polymers 6.00% exercise price $52.33 ω | | | 78 | | | | 66,300 | |
| RBC Bearings 5.00% exercise price $226.60, maturity date 10/15/24 | | | 841 | | | | 89,146 | |
| UGI 7.25% exercise price $52.57, maturity date 6/1/24 | | | 1,073 | | | | 71,269 | |
| Wells Fargo & Co. 7.50% exercise price $156.71 ω | | | 39 | | | | 44,928 | |
Total Convertible Preferred Stock
(cost $599,415) | | | | | | | 505,612 | |
| |
| Preferred Stock — 0.13% | | | | | | | | |
| Henkel AG & Co. 2.64% | | | 724 | | | | 57,903 | |
Total Preferred Stock
(cost $58,895) | | | | | | | 57,903 | |
| |
| Exchange-Traded Funds — 8.33% | | | | | | | | |
| iShares 0-5 Year Investment Grade Corporate Bond ETF | | | 32,529 | | | | 1,568,223 | |
| iShares Latin America 40 ETF | | | 8,641 | | | | 234,776 | |
| iShares MSCI China ETF | | | 6,636 | | | | 296,895 | |
| iShares MSCI Emerging Markets Asia ETF | | | 5,557 | | | | 365,150 | |
| Vanguard Russell 2000 ETF | | | 14,809 | | | | 1,119,857 | |
Total Exchange-Traded Funds
(cost $3,616,505) | | | | | | | 3,584,901 | |
| |
| Short-Term Investments — 0.37% | | | | | | | | |
| Money Market Mutual Funds — 0.37% | | | | | | | | |
| BlackRock Liquidity FedFund – Institutional Shares (seven-day effective yield 4.99%) | | | 40,370 | | | | 40,370 | |
| Fidelity Investments Money Market Government Portfolio – Class I (seven-day effective yield 4.99%) | | | 40,370 | | | | 40,370 | |
| Goldman Sachs Financial Square Government Fund – Institutional Shares (seven-day effective yield 5.14%) | | | 40,370 | | | | 40,370 | |
| Morgan Stanley Institutional Liquidity Funds Government Portfolio – Institutional Class (seven-day effective yield 5.03%) | | | 40,370 | | | | 40,370 | |
Total Short-Term Investments
(cost $161,480) | | | | | | | 161,480 | |
Total Value of Securities—99.71%
(cost $41,230,422) | | | | | | $ | 42,913,416 | |
| ° | Principal amount shown is stated in USD unless noted that the security is denominated in another currency. |
| # | Security exempt from registration under Rule 144A of the Securities Act of 1933, as amended. At June 30, 2023, the aggregate value of Rule 144A securities was $3,546,732, which represents 8.24% of the Series’ net assets. See Note 8 in “Notes to financial statements.” |
| ^ | Zero-coupon security. The rate shown is the effective yield at the time of purchase. |
| > | PIK. 100% of the income received was in the form of cash. |
| µ | Fixed to variable rate investment. The rate shown reflects the fixed rate in effect at June 30, 2023. Rate will reset at a future date. |
| Ψ | Perpetual security. Maturity date represents next call date. |
| • | Variable rate investment. Rates reset periodically. Rate shown reflects the rate in effect at June 30, 2023. For securities based on a published reference rate and spread, the reference rate and spread are indicated in their descriptions. The reference rate descriptions (i.e. LIBOR03M, LIBOR06M, etc.) used in this report are identical for different securities, but the underlying reference rates may differ due to the timing of the reset period. Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions, or for mortgage-backed securities, are impacted by the individual mortgages which are paying off over time. These securities do not indicate a reference rate and spread in their descriptions. |
| † | Non-income producing security. |
| ω | Perpetual security with no stated maturity date. |
The following futures contracts were outstanding at June 30, 2023:1
Futures Contracts
Exchange-Traded
| Contracts to Buy (Sell) | | Notional
Amount | | | Notional
Cost
(Proceeds) | | | Expiration
Date | | Value/
Unrealized
Depreciation | | | Variation
Margin
Due from
(Due to)
Brokers | |
| 4 | US Treasury 5 yr Notes | | $ | 428,375 | | | $ | 433,759 | | | 9/29/23 | | $ | (5,384 | ) | | $ | — | |
| 4 | US Treasury 10 yr Notes | | | 449,062 | | | | 453,541 | | | 9/20/23 | | | (4,479 | ) | | | 563 | |
| Total Futures Contracts | | | | | | $ | 887,300 | | | | | $ | (9,863 | ) | | $ | 563 | |
The use of futures contracts involves elements of market risk and risks in excess of the amounts disclosed in the financial statements. The notional amounts presented above represent the Series’ total exposure in such contracts, whereas only the variation margin is reflected in the Series’ net assets.
| 1 | See Note 6 in “Notes to financial statements.” |
Summary of abbreviations:
AG – Aktiengesellschaft
DAC – Designated Activity Company
ETF – Exchange-Traded Fund
ICE – Intercontinental Exchange, Inc.
LIBOR – London Interbank Offered Rate
LIBOR03M – ICE LIBOR USD 3 Month
LIBOR06M – ICE LIBOR USD 6 Month
MSCI – Morgan Stanley Capital International
PIK – Payment-in-kind
REIT – Real Estate Investment Trust
S&P – Standard & Poor’s Financial Services LLC
USBMMY3M – US Treasury 3 Month Bill Money Market Yield
USD – US Dollar
yr – Year
See accompanying notes, which are an integral part of the financial statements.
Statement of assets and liabilities
| Delaware VIP® Trust — Delaware VIP Total Return Series | June 30, 2023 (Unaudited) |
| Assets: | | | |
| Investments, at value* | | $ | 42,913,416 | |
| Cash | | | 3,274 | |
| Cash collateral due from brokers | | | 15,400 | |
| Dividends and interest receivable | | | 167,707 | |
| Receivable for securities sold | | | 42,664 | |
| Foreign tax reclaims receivable | | | 13,156 | |
| Receivable for series shares sold | | | 4,232 | |
| Variation margin due from broker on futures contracts | | | 563 | |
| Other assets | | | 382 | |
| Total Assets | | | 43,160,794 | |
| Liabilities: | | | | |
| Due to custodian | | | 14 | |
| Other accrued expenses | | | 95,637 | |
| Investment management fees payable to affiliates | | | 14,336 | |
| Administration expenses payable to affiliates | | | 7,915 | |
| Payable for securities purchased | | | 6,719 | |
| Payable for series shares redeemed | | | 3 | |
| Distribution fees payable to affiliates | | | 3 | |
| Total Liabilities | | | 124,627 | |
| Total Net Assets | | $ | 43,036,167 | |
| |
| Net Assets Consist of: | | | | |
| Paid-in capital | | $ | 41,209,401 | |
| Total distributable earnings (loss) | | | 1,826,766 | |
| Total Net Assets | | $ | 43,036,167 | |
| |
| Net Asset Value | | | | |
| Standard Class: | | | | |
| Net assets | | $ | 43,024,735 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 3,652,108 | |
| Net asset value per share | | $ | 11.78 | |
| Service Class: | | | | |
| Net assets | | $ | 11,432 | |
| Shares of beneficial interest outstanding, unlimited authorization, no par | | | 973 | |
| Net asset value per share | | $ | 11.75 | |
|
| *Investments, at cost | | $ | 41,230,422 | |
See accompanying notes, which are an integral part of the financial statements.
Statement of operations
| Delaware VIP® Trust — Delaware VIP Total Return Series | Six months ended June 30, 2023 (Unaudited) |
| Investment Income: | | | |
| Dividends | | $ | 379,340 | |
| Interest | | | 181,087 | |
| Foreign tax withheld | | | (4,948 | ) |
| | | | 555,479 | |
| |
| Expenses: | | | | |
| Management fees | | | 136,274 | |
| Distribution expenses — Service Class | | | 16 | |
| Audit and tax fees | | | 23,465 | |
| Accounting and administration expenses | | | 21,967 | |
| Reports and statements to shareholders expenses | | | 8,963 | |
| Dividend disbursing and transfer agent fees and expenses | | | 8,112 | |
| Custodian fees | | | 6,089 | |
| Trustees’ fees and expenses | | | 1,586 | |
| Legal fees | | | 246 | |
| Other | | | 19,527 | |
| | | | 226,245 | |
| Less expenses waived | | | (52,164 | ) |
| Total operating expenses | | | 174,081 | |
| Net Investment Income (Loss) | | | 381,398 | |
| |
| Net Realized and Unrealized Gain (Loss): | | | | |
| Net realized gain (loss) on: | | | | |
| Investments | | | 413,177 | |
| Foreign currencies | | | (690 | ) |
| Foreign currency exchange contracts | | | (780 | ) |
| Futures contracts | | | (10,141 | ) |
| Options purchased | | | (1,888 | ) |
| Net realized gain (loss) | | | 399,678 | |
| Net change in unrealized appreciation (depreciation) on: | | | | |
| Investments | | | 1,815,974 | |
| Foreign currencies | | | 1,117 | |
| Foreign currency exchange contracts | | | 8 | |
| Futures contracts | | | (8,918 | ) |
| Net change in unrealized appreciation (depreciation) | | | 1,808,181 | |
| Net Realized and Unrealized Gain (Loss) | | | 2,207,859 | |
| Net Increase (Decrease) in Net Assets Resulting from Operations | | $ | 2,589,257 | |
See accompanying notes, which are an integral part of the financial statements.
Statements of changes in net assets
Delaware VIP® Trust — Delaware VIP Total Return Series
| | | Six months
ended
6/30/23
(Unaudited) | | | Year ended
12/31/22 | |
| Increase (Decrease) in Net Assets from Operations: | | | | | | | | |
| Net investment income (loss) | | $ | 381,398 | | | $ | 448,389 | |
| Net realized gain (loss) | | | 399,678 | | | | 354,194 | |
| Net change in unrealized appreciation (depreciation) | | | 1,808,181 | | | | (6,485,188 | ) |
| Net increase (decrease) in net assets resulting from operations | | | 2,589,257 | | | | (5,682,605 | ) |
| |
| Dividends and Distributions to Shareholders from: | | | | | | | | |
| Distributable earnings: | | | | | | | | |
| Standard Class | | | (1,102,661 | ) | | | (5,441,308 | ) |
| Service Class | | | (252 | ) | | | (1,219 | ) |
| | | | (1,102,913 | ) | | | (5,442,527 | ) |
| |
| Capital Share Transactions: | | | | | | | | |
| Proceeds from shares sold: | | | | | | | | |
| Standard Class | | | 4,120,431 | | | | 873,619 | |
| |
| Net asset value of shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 1,102,661 | | | | 5,441,308 | |
| Service Class | | | 252 | | | | 1,219 | |
| | | | 5,223,344 | | | | 6,316,146 | |
| Cost of shares redeemed: | | | | | | | | |
| Standard Class | | | (5,212,253 | ) | | | (9,740,926 | ) |
| Increase (decrease) in net assets derived from capital share transactions | | | 11,091 | | | | (3,424,780 | ) |
| Net Increase (Decrease) in Net Assets | | | 1,497,435 | | | | (14,549,912 | ) |
| |
| Net Assets: | | | | | | | | |
| Beginning of period | | | 41,538,732 | | | | 56,088,644 | |
| End of period | | $ | 43,036,167 | | | $ | 41,538,732 | |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Delaware VIP® Total Return Series Standard Class
Selected data for each share of the Series outstanding throughout each period were as follows:
| | | Six months
ended
6/30/231 | | | Year ended |
| | | (Unaudited) | | | 12/31/22 | | | 12/31/21 | | | 12/31/20 | | | 12/31/192 | | | 12/31/18 | |
| Net asset value, beginning of period | | $ | 11.38 | | | $ | 14.29 | | | $ | 12.56 | | | $ | 14.29 | | | $ | 12.50 | | | $ | 13.83 | |
| | | | | | | | | | | | | | | | | | | | | | | | | |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income3 | | | 0.10 | | | | 0.12 | | | | 0.21 | | | | 0.24 | | | | 0.22 | | | | 0.24 | |
| Net realized and unrealized gain (loss) | | | 0.60 | | | | (1.55 | ) | | | 1.82 | | | | (0.44 | ) | | | 2.08 | | | | (1.28 | ) |
| Total from investment operations | | | 0.70 | | | | (1.43 | ) | | | 2.03 | | | | (0.20 | ) | | | 2.30 | | | | (1.04 | ) |
| |
| Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.25 | ) | | | (0.28 | ) | | | (0.30 | ) | | | (0.27 | ) | | | (0.26 | ) | | | (0.22 | ) |
| Net realized gain | | | (0.05 | ) | | | (1.20 | ) | | | — | | | | (1.26 | ) | | | (0.25 | ) | | | (0.07 | ) |
| Total dividends and distributions | | | (0.30 | ) | | | (1.48 | ) | | | (0.30 | ) | | | (1.53 | ) | | | (0.51 | ) | | | (0.29 | ) |
| |
| Net asset value, end of period | | $ | 11.78 | | | $ | 11.38 | | | $ | 14.29 | | | $ | 12.56 | | | $ | 14.29 | | | $ | 12.50 | |
| |
| Total return4 | | | 6.23 | %5 | | | (10.56 | )%5 | | | 16.37 | %5 | | | 0.91 | %5 | | | 18.88 | %5 | | | (7.65 | )% |
| |
| Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | | $ | 43,025 | | | $ | 41,528 | | | $ | 56,077 | | | $ | 54,281 | | | $ | 58,637 | | | $ | 51,630 | |
| Ratio of expenses to average net assets6 | | | 0.83 | % | | | 0.84 | % | | | 0.86 | % | | | 0.86 | % | | | 0.93 | % | | | 0.90 | % |
| Ratio of expenses to average net assets prior to fees waived6 | | | 1.08 | % | | | 1.03 | % | | | 0.96 | % | | | 1.06 | % | | | 0.99 | % | | | 0.90 | % |
| Ratio of net investment income to average net assets | | | 1.82 | % | | | 0.96 | % | | | 1.56 | % | | | 2.01 | % | | | 1.63 | % | | | 1.80 | % |
| Ratio of net investment income to average net assets prior to fees waived | | | 1.57 | % | | | 0.77 | % | | | 1.46 | % | | | 1.81 | % | | | 1.57 | % | | | 1.80 | % |
| Portfolio turnover | | | 28 | % | | | 55 | % | | | 95 | % | | | 87 | % | | | 150 | %7 | | | 68 | % |
| 1 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 2 | On October 4, 2019, the First Investors Life Series Total Return Fund shares were reorganized into Standard Class shares of the Series. The Standard Class shares financial highlights for the period prior to October 4, 2019, reflect the performance of the First Investors Life Series Total Return Fund shares. |
| 3 | Calculated using average shares outstanding. |
| 4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 5 | Total return during the period reflects waivers by the manager. Performance would have been lower had the waivers not been in effect. |
| 6 | Expense ratios do not include expenses of any investment companies in which the Series invests. |
| 7 | The Series’ portfolio turnover rate increased substantially during the year ended December 31, 2019 due to a change in the Series’ portfolio managers and associated repositioning. |
See accompanying notes, which are an integral part of the financial statements.
Financial highlights
Delaware VIP® Total Return Series Service Class
Selected data for each share of the Series outstanding throughout each period were as follows:
| | | Six months
ended
6/30/232 | | | Year ended | | 10/31/191
to | |
| | | (Unaudited) | | | 12/31/22 | | | 12/31/21 | | | 12/31/20 | | | 12/31/19 | |
| Net asset value, beginning of period | | $ | 11.33 | | | $ | 14.23 | | | $ | 12.52 | | | $ | 14.29 | | | $ | 13.79 | |
| |
| Income (loss) from investment operations: | | | | | | | | | | | | | | | | | | | | |
| Net investment income3 | | | 0.09 | | | | 0.08 | | | | 0.17 | | | | 0.20 | | | | 0.04 | |
| Net realized and unrealized gain (loss) | | | 0.60 | | | | (1.54 | ) | | | 1.81 | | | | (0.44 | ) | | | 0.46 | |
| Total from investment operations | | | 0.69 | | | | (1.46 | ) | | | 1.98 | | | | (0.24 | ) | | | 0.50 | |
| |
| Less dividends and distributions from: | | | | | | | | | | | | | | | | | | | | |
| Net investment income | | | (0.22 | ) | | | (0.24 | ) | | | (0.27 | ) | | | (0.27 | ) | | | — | |
| Net realized gain | | | (0.05 | ) | | | (1.20 | ) | | | — | | | | (1.26 | ) | | | — | |
| Total dividends and distributions | | | (0.27 | ) | | | (1.44 | ) | | | (0.27 | ) | | | (1.53 | ) | | | — | |
| |
| Net asset value, end of period | | $ | 11.75 | | | $ | 11.33 | | | $ | 14.23 | | | $ | 12.52 | | | $ | 14.29 | |
| |
| Total return4 | | | 6.12 | % | | | (10.82 | )% | | | 15.96 | % | | | 0.54 | % | | | 3.63 | % |
| |
| Ratios and supplemental data: | | | | | | | | | | | | | | | | | | | | |
| Net assets, end of period (000 omitted) | | $ | 11 | | | $ | 11 | | | $ | 12 | | | $ | 10 | | | $ | 10 | |
| Ratio of expenses to average net assets5 | | | 1.13 | % | | | 1.14 | % | | | 1.16 | % | | | 1.16 | % | | | 1.16 | % |
| Ratio of expenses to average net assets prior to fees waived5 | | | 1.36 | % | | | 1.33 | % | | | 1.25 | % | | | 1.36 | % | | | 1.50 | % |
| Ratio of net investment income to average net assets | | | 1.51 | % | | | 0.70 | % | | | 1.26 | % | | | 1.71 | % | | | 1.79 | % |
| Ratio of net investment income to average net assets prior to fees waived | | | 1.28 | % | | | 0.51 | % | | | 1.17 | % | | | 1.51 | % | | | 1.45 | % |
| Portfolio turnover | | | 28 | % | | | 55 | % | | | 95 | % | | | 87 | % | | | 150 | %6,7 |
| 1 | Date of commencement of operations; ratios have been annualized and total return has not been annualized. |
| 2 | Ratios have been annualized and total return and portfolio turnover have not been annualized. |
| 3 | Calculated using average shares outstanding. |
| 4 | Total return is based on the change in net asset value of a share during the period and assumes reinvestment of dividends and distributions at net asset value. Total return during the period shown reflects waivers by the manager and/or distributor. Performance would have been lower had the waivers not been in effect. Total return does not include fees, charges, or expenses imposed by the variable annuity and life insurance contracts for which Delaware VIP Trust serves as an underlying investment vehicle. |
| 5 | Expense ratios do not include expenses of any investment companies in which the Series invests. |
| 6 | Portfolio turnover is representative of the Series for the entire period. |
| 7 | The Series’ portfolio turnover rate increased substantially during the year ended December 31, 2019 due to a change in the Series’ portfolio managers and associated repositioning. |
See accompanying notes, which are an integral part of the financial statements.
Notes to financial statements
| Delaware VIP® Trust — Delaware VIP Total Return Series | June 30, 2023 (Unaudited) |
Delaware VIP Trust (Trust) is organized as a Delaware statutory trust. The Trust consists of 10 series, each of which is treated as a separate entity for certain matters under the Investment Company Act of 1940, as amended (1940 Act). These financial statements and the related notes pertain to Delaware VIP Total Return Series (Series). The Trust is an open-end investment company. The Series is considered diversified under the 1940 Act and offers Standard Class and Service Class shares. The Standard Class shares do not carry a distribution and service (12b-1) fee and the Service Class shares carry a 12b-1 fee. The shares of the Series are sold only to separate accounts of life insurance companies.
1. Significant Accounting Policies
The Series follows accounting and reporting guidance under Financial Accounting Standards Board (FASB) Accounting Standards Codification Topic 946, Financial Services — Investment Companies. The following accounting policies are in accordance with US generally accepted accounting principles (US GAAP) and are consistently followed by the Series.
Security Valuation — Equity securities and exchange-traded funds (ETFs), except those traded on the Nasdaq Stock Market LLC (Nasdaq), are valued at the last quoted sales price as of the time of the regular close of the New York Stock Exchange on the valuation date. Equity securities and ETFs traded on the Nasdaq are valued in accordance with the Nasdaq Official Closing Price, which may not be the last sales price. If, on a particular day, an equity security or ETF does not trade, the mean between the bid and the ask prices will be used, which approximates fair value. Equity securities listed on a foreign exchange are normally valued at the last quoted sales price on the valuation date. Debt securities are valued based upon valuations provided by an independent pricing service or broker/counterparty and reviewed by management. To the extent current market prices are not available, the pricing service may take into account developments related to the specific security, as well as transactions in comparable securities. US government and agency securities are valued at the mean between the bid and the ask prices, which approximates fair value. Valuations for fixed income securities utilize matrix systems, which reflect such factors as security prices, yields, maturities, and ratings, and are supplemented by dealer and exchange quotations. For asset-backed securities, collateralized mortgage obligations (CMOs), commercial mortgage securities, and US government agency mortgage securities, pricing vendors utilize matrix pricing which considers prepayment speed, attributes of the collateral, yield or price of bonds of comparable quality, coupon, maturity, and type as well as broker/dealer-supplied prices. Futures contracts and options on futures contracts are valued at the daily quoted settlement prices. Foreign currency exchange contracts and foreign cross currency exchange contracts are valued at the mean between the bid and the ask prices, which approximates fair value. Interpolated values are derived when the settlement date of the contract is an interim date for which quotations are not available. Open-end investment companies, other than ETFs are valued at their published net asset value (NAV). Generally, other securities and assets for which market quotations are not readily available are valued at fair value as determined in good faith by the Series valuation designee, Delaware Management Company (DMC). Subject to the oversight of the Trust’s Board of Trustees (Board), DMC, as valuation designee, has adopted policies and procedures to fair value securities for which market quotations are not readily available consistent with the requirements of Rule 2a-5 under the 1940 Act. In determining whether market quotations are readily available or fair valuation will be used, various factors will be taken into consideration, such as market closures or suspension of trading in a security. Restricted securities and private placements are valued at fair value.
Federal and Foreign Income Taxes — No provision for federal income taxes has been made as the Series intends to continue to qualify for federal income tax purposes as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended, and make the requisite distributions to shareholders. The Series evaluates tax positions taken or expected to be taken in the course of preparing the Series’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions not deemed to meet the “more-likely-than-not” threshold are recorded as a tax benefit or expense in the current year. Management has analyzed the Series’ tax positions taken or expected to be taken on the Series’ federal income tax returns through the six months ended June 30, 2023, and for all open tax years (years ended December 31, 2019–December 31, 2022), and has concluded that no provision for federal income tax is required in the Series’ financial statements. In regard to foreign taxes only, the Series has open tax years in certain foreign countries in which it invests that may date back to the inception of the Series. If applicable, the Series recognizes interest accrued on unrecognized tax benefits in interest expense and penalties in “Other” on the “Statement of operations.” During the six months ended June 30, 2023, the Series did not incur any interest or tax penalties.
Class Accounting — Investment income, common expenses, and realized and unrealized gain (loss) on investments are allocated to the various classes of the Series on the basis of daily net assets of each class. Distribution expenses relating to a specific class are charged directly to that class.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Total Return Series
1. Significant Accounting Policies (continued)
Underlying Funds — The Series may invest in other investment companies (Underlying Funds) to the extent permitted by the 1940 Act. The Underlying Funds in which the Series may invest include ETFs. The Series will indirectly bear the investment management fees and other expenses of the Underlying Funds.
Foreign Currency Transactions — Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date in accordance with the Series’ prospectus. The value of all assets and liabilities denominated in foreign currencies is translated daily into US dollars at the exchange rate of such currencies against the US dollar. Transaction gains or losses resulting from changes in exchange rates during the reporting period or upon settlement of the foreign currency transaction are reported in operations for the current period. The Series generally bifurcates that portion of realized gains and losses on investments in debt securities which is due to changes in foreign exchange rates from that which is due to changes in market prices of debt securities. That portion of gains (losses), attributable to changes in foreign exchange rates, is included on the “Statement of operations” under “Net realized gain (loss) on foreign currencies.” The Series reports certain foreign currency related transactions as components of realized gains (losses) for financial reporting purposes, whereas such components are treated as ordinary income (loss) for federal income tax purposes.
Derivative Financial Instruments — The Series may invest in various derivative financial instruments. These instruments are used to obtain exposure to a security, commodity, index, market, and/or other assets without owning or taking physical custody of securities, commodities and/or other referenced assets or to manage market, equity, credit, interest rate, foreign currency exchange rate, commodity and/or other risks. Derivative financial instruments may give rise to a form of economic leverage and involve risks, including the imperfect correlation between the value of a derivative financial instrument and the underlying asset, possible default of the counterparty to the transaction or illiquidity of the instrument. Pursuant to Rule 18f-4 under the 1940 Act, among other things, the Series must either use derivative financial instruments with embedded leverage in a limited manner or comply with an outer limit on fund leverage risk based on value-at-risk. The Series successful use of a derivative financial instrument depends on the investment adviser’s ability to predict pertinent market movements accurately, which cannot be assured. The use of these instruments may result in losses greater than if they had not been used, may limit the amount of appreciation the Series can realize on an investment and/or may result in lower distributions paid to shareholders. The Series investments in these instruments, if any, are discussed in detail in the Notes to financial statements.
Segregation and Collateralizations — In certain cases, based on requirements and agreements with certain exchanges and third-party broker-dealers, the Series may deliver or receive collateral in connection with certain investments (e.g., futures contracts, foreign currency exchange contracts, options written, securities with extended settlement periods, and swaps). Certain countries require that cash reserves be held while investing in companies incorporated in that country. These cash reserves and cash collateral that has been pledged/received to cover obligations of the Series under derivative contracts, if any, will be reported separately on the “Statement of assets and liabilities” as cash collateral due to/from broker. Securities collateral pledged for the same purpose, if any, is noted on the “Schedule of investments.” Use of Estimates — The preparation of financial statements in conformity with US GAAP requires management to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements, and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates and the differences could be material.
Other — Expenses directly attributable to the Series are charged directly to the Series. Other expenses common to various funds within the Delaware Funds by Macquarie® (Delaware Funds) are generally allocated among such funds on the basis of average net assets. Management fees and certain other expenses are paid monthly. Security transactions are recorded on the date the securities are purchased or sold (trade date) for financial reporting purposes. Costs used in calculating realized gains and losses on the sale of investment securities are those of the specific securities sold. Dividend income is recorded on the ex-dividend date and interest income is recorded on an accrual basis. Income and capital gain distributions from any Underlying Funds in which the Series invests are recorded on the ex-dividend date. Taxable non-cash dividends are recorded as dividend income. Foreign dividends are also recorded on the ex-dividend date or as soon after the ex-dividend date that the Series is aware of such dividends, net of all tax withholdings, a portion of which may be reclaimable. Withholding taxes and reclaims on foreign dividends have been recorded in accordance with the Series’ understanding of the applicable country’s tax rules and rates. Discounts and premiums on debt securities are accreted or amortized to interest income, respectively, over the lives of the respective securities using the effective interest method. Premiums on callable debt securities are amortized to interest income to the earliest call date using the effective interest method. Realized gains (losses) on paydowns of asset- and mortgage-backed securities are classified as interest income. Distributions received from investments in real estate investment trusts (REITs) are recorded as dividend income on the ex-dividend date, subject to
reclassification upon notice of the character of such distributions by the issuer. The Series declares and pays dividends from net investment income and distributions from net realized gain on investments, if any, at least annually. The Series may distribute more frequently, if necessary for tax purposes. Dividends and distributions, if any, are recorded on the ex-dividend date.
The Series receives earnings credits from its transfer agent when positive cash balances are maintained, which may be used to offset transfer agent fees. If the amount earned is greater than $1, the expenses paid under this arrangement are included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses” with the corresponding expenses offset included under “Less expenses paid indirectly.” For the six months ended June 30, 2023, the Series earned less than $1 under this arrangement.
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates
In accordance with the terms of its investment management agreement, the Series pays DMC, a series of Macquarie Investment Management Business Trust and the investment manager, an annual fee which is calculated daily and paid monthly at the rates of 0.65% on the first $500 million of average daily net assets of the Series, 0.60% on the next $500 million, 0.55% on the next $1.5 billion, and 0.50% on average daily net assets in excess of $2.5 billion.
DMC has contractually agreed to waive all or a portion of its investment advisory fees and/or pay/reimburse expenses (excluding any 12b-1 fees, acquired fund fees and expenses, taxes, interest, short sale dividend and interest expenses, brokerage fees, certain insurance costs, and nonroutine expenses or costs, including, but not limited to, those relating to reorganizations, litigation, conducting shareholder meetings, and liquidations), in order to prevent total annual series operating expenses from exceeding 0.83% of the Series’ average daily net assets for the Standard Class and the Service Class from January 1, 2023 through June 30, 2023.* These waivers and reimbursements may only be terminated by agreement of DMC and the Series. The waivers and reimbursements are accrued daily and received monthly.
Macquarie Investment Management Austria Kapitalanlage AG is primarily responsible for the day-to-day management of the Series’ portfolio and determines its asset allocation.
DMC may seek investment advice and recommendations relating to fixed income securities from its affiliates: Macquarie Investment Management Europe Limited (MIMEL) and Macquarie Investment Management Global Limited (MIMGL). DMC may also permit MIMGL to execute Series equity security trades on behalf of DMC. DMC may also permit MIMEL and MIMGL to exercise investment discretion for securities in certain markets where DMC believes it will be beneficial to utilize MIMEL’s or MIMGL’s specialized market knowledge, and DMC may also seek quantitative support from MIMGL. MIMGL is also responsible for managing real estate investment trust securities and other equity asset classes to which the portfolio managers may allocate assets from time to time.
Delaware Investments Fund Services Company (DIFSC), an affiliate of DMC, provides fund accounting and financial administrative oversight services to the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, based on the aggregate daily net assets of all funds within the Delaware Funds at the following annual rates: 0.00475% of the first $35 billion; 0.0040% of the next $10 billion; 0.0025% of the next $45 billion; and 0.0015% of aggregate average daily net assets in excess of $90 billion (Total Fee). Each fund in the Delaware Funds pays a minimum of $4,000, which, in aggregate, is subtracted from the Total Fee. Each fund then pays its portion of the remainder of the Total Fee on a relative NAV basis. This amount is included on the “Statement of operations” under “Accounting and administration expenses.” For the six months ended June 30, 2023, the Series paid $2,616 for these services.
DIFSC is also the transfer agent and dividend disbursing agent of the Series. For these services, DIFSC’s fees are calculated daily and paid monthly, at the annual rate of 0.0075% of the Series’ average daily net assets. This amount is included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” For the six months ended June 30, 2023, the Series paid $1,602 for these services. Pursuant to a sub-transfer agency agreement between DIFSC and BNY Mellon Investment Servicing (US) Inc. (BNYMIS), BNYMIS provides certain sub-transfer agency services to the Series. Sub-transfer agency fees are paid by the Series and are also included on the “Statement of operations” under “Dividend disbursing and transfer agent fees and expenses.” The fees that are calculated daily and paid as invoices are received on a monthly or quarterly basis.
Pursuant to a distribution agreement and distribution plan, the Series pays DDLP, the distributor and an affiliate of DMC, an annual 12b-1 fee of 0.30% of the average daily net assets of the Service Class shares. The fees are calculated daily and paid monthly. Standard Class shares do not pay 12b-1 fees.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Total Return Series
2. Investment Management, Administration Agreements, and Other Transactions with Affiliates (continued)
As provided in the investment management agreement, the Series bears a portion of the cost of certain resources shared with DMC, including the cost of internal personnel of DMC and/or its affiliates that provide legal and regulatory reporting services to the Series. For the six months ended June 30, 2023, the Series paid $445 for internal legal and regulatory reporting services provided by DMC and/or its affiliates’ employees. This amount is included on the “Statement of operations” under “Legal fees.”
Trustees’ fees include expenses accrued by the Series for each Trustee’s retainer and meeting fees. Certain officers of DMC, DIFSC, and DDLP are officers and/or Trustees of the Trust. These officers and Trustees are paid no compensation by the Series.
In addition to the management fees and other expenses of the Series, the Series indirectly bears the investment management fees and other expenses of any Underlying Funds, including ETFs in which it invests. The amount of these fees and expenses incurred indirectly by the Series will vary based upon the expense and fee levels of any Underlying Funds and the number of shares that are owned of any Underlying Funds at different times.
*The aggregate contractual waiver period covering this report is from April 29, 2022 through April 30, 2024.
3. Investments
For the six months ended June 30, 2023, the Series made purchases and sales of investment securities other than short-term investments as follows:
| Purchases other than US government securities | | $ | 6,942,455 | |
| Purchases of US government securities | | | 4,563,579 | |
| Sales other than US government securities | | | 5,984,561 | |
| Sales of US government securities | | | 5,951,854 | |
At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments and derivatives for federal income tax purposes have been estimated since final tax characteristics cannot be determined until fiscal year end. At June 30, 2023, the cost and unrealized appreciation (depreciation) of investments and derivatives for the Series were as follows:
| Cost of investments and derivatives | | $ | 41,572,519 | |
| Aggregate unrealized appreciation of investments and derivatives | | $ | 4,354,320 | |
| Aggregate unrealized depreciation of investments and derivatives | | | (3,013,423 | ) |
| Net unrealized depreciation of investments and derivatives | | $ | 1,340,897 | |
US GAAP defines fair value as the price that the Series would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date under current market conditions. A three-level hierarchy for fair value measurements has been established based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the assumptions that market participants would use in pricing the
asset or liability based on the best information available under the circumstances. The Series’ investment in its entirety is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-level hierarchy of inputs is summarized as follows:
| Level 1 – | Inputs are quoted prices in active markets for identical investments. (Examples: equity securities, open-end investment companies, futures contracts, and exchange-traded options contracts) |
| | |
| Level 2 – | Other observable inputs, including, but not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks, and default rates) or other market-corroborated inputs. (Examples: debt securities, government securities, swap contracts, foreign currency exchange contracts, foreign securities utilizing international fair value pricing, broker-quoted securities, and fair valued securities) |
| | |
| Level 3 – | Significant unobservable inputs, including the Series’ own assumptions used to determine the fair value of investments. (Examples: broker-quoted securities and fair valued securities) |
Level 3 investments are valued using significant unobservable inputs. The Series may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may also be based upon current market prices of securities that are comparable in coupon, rating, maturity, and industry. The derived value of a Level 3 investment may not represent the value which is received upon disposition and this could impact the results of operations.
The following table summarizes the valuation of the Series’ investments by fair value hierarchy levels as of June 30, 2023:
| | | Level 1 | | | Level 2 | | | Total | |
| Securities | | | | | | | | | | | | |
| Assets: | | | | | | | | | | | | |
| Common Stocks | | $ | 22,785,514 | | | $ | 2,220,024 | | | $ | 25,005,538 | |
| Convertible Bonds | | | — | | | | 3,445,847 | | | | 3,445,847 | |
| Convertible Preferred Stock | | | 505,612 | | | | — | | | | 505,612 | |
| Corporate Bonds | | | — | | | | 3,613,020 | | | | 3,613,020 | |
| Exchange-Traded Funds | | | 3,584,901 | | | | — | | | | 3,584,901 | |
| Preferred Stock | | | — | | | | 57,903 | | | | 57,903 | |
| US Treasury Obligations | | | — | | | | 6,539,115 | | | | 6,539,115 | |
| Short-Term Investments | | | 161,480 | | | | — | | | | 161,480 | |
| Total Value of Securities | | $ | 27,037,507 | | | $ | 15,875,909 | | | $ | 42,913,416 | |
| | | | | | | | | | | | | |
| Derivatives1 | | | | | | | | | | | | |
| Liabilities: | | | | | | | | | | | | |
| Futures Contracts | | $ | (9,863 | ) | | $ | — | | | $ | (9,863 | ) |
| 1 | Futures contracts are valued at the unrealized appreciation (depreciation) on the instrument at the period end. |
During the six months ended June 30, 2023, there were no transfers into or out of Level 3 investments. The Series’ policy is to recognize transfers into or out of Level 3 investments based on fair value at the beginning of the reporting period.
A reconciliation of Level 3 investments is presented when the Series has a significant amount of Level 3 investments at the beginning or end of the period in relation to the Series’ net assets. During the six months ended June 30, 2023, there were no Level 3 investments.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Total Return Series
4. Capital Shares
Transactions in capital shares were as follows:
| | | Six months
ended
6/30/23 | | | Year ended
12/31/22 | |
| Shares sold: | | | | | | | | |
| Standard Class | | | 357,269 | | | | 72,763 | |
| Shares issued upon reinvestment of dividends and distributions: | | | | | | | | |
| Standard Class | | | 96,471 | | | | 453,821 | |
| Service Class | | | 22 | | | | 102 | |
| | | | 453,762 | | | | 526,686 | |
| Shares redeemed: | | | | | | | | |
| Standard Class | | | (451,136 | ) | | | (801,213 | ) |
| Net increase (decrease) | | | 2,626 | | | | (274,527 | ) |
5. Line of Credit
The Series, along with certain other funds in the Delaware Funds (Participants), is a participant in a $355,000,000 revolving line of credit (Agreement) intended to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions of investor shares. Under the Agreement, the Participants are charged an annual commitment fee of 0.15%, which is allocated across the Participants based on a weighted average of the respective net assets of each Participant. The Participants are permitted to borrow up to a maximum of one-third of their net assets under the Agreement. Each Participant is individually, and not jointly, liable for its particular advances, if any, under the line of credit. The line of credit available under the Agreement expires on October 30, 2023.
The Series had no amounts outstanding as of June 30, 2023, or at any time during the period then ended.
6. Derivatives
US GAAP requires disclosures that enable investors to understand: (1) how and why an entity uses derivatives; (2) how they are accounted for; and (3) how they affect an entity’s results of operations and financial position.
Foreign Currency Exchange Contracts
The Series may enter into foreign currency exchange contracts and foreign cross currency exchange contracts as a way of managing foreign exchange rate risk. The Series may enter into these contracts to fix the US dollar value of a security that it has agreed to buy or sell for the period between the date the trade was entered into and the date the security is delivered and paid for. The Series may also use these contracts to hedge the US dollar value of securities it already owns that are denominated in foreign currencies. In addition, the Series may enter into these contracts to facilitate or expedite the settlement of portfolio transactions. The change in value is recorded as an unrealized gain or loss. When the contract is closed, a realized gain or loss is recorded equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
The use of foreign currency exchange contracts and foreign cross currency exchange contracts does not eliminate fluctuations in the underlying prices of the securities, but does establish a rate of exchange that can be achieved in the future. Although foreign currency exchange contracts and foreign cross currency exchange contracts limit the risk of loss due to an unfavorable change in the value of the hedged currency, they also limit any potential gain that might result should the value of the currency change favorably. In addition, the Series could be exposed to risks if the counterparties to the contracts are unable to meet the terms of their contracts. The Series’ maximum risk of loss from counterparty credit risk is the value of its currency exchanged with the counterparty. The risk is generally mitigated by having a netting arrangement between the Series and the counterparty and by the posting of collateral by the counterparty to the Series to cover the Series’ exposure to the counterparty.
During the six months ended June 30, 2023, the Series entered into foreign currency exchange contracts and foreign cross currency exchange contracts to facilitate or expedite the settlement of portfolio transactions.
During the six months ended June 30, 2023, the Series experienced net realized and unrealized gains or losses attributable to foreign currency holdings, which are disclosed on the “Statement of assets and liabilities” and “Statement of operations.”
Futures Contracts
A futures contract is an agreement in which the writer (or seller) of the contract agrees to deliver to the buyer an amount of cash or securities equal to a specific dollar amount times the difference between the value of a specific security or index at the close of the last trading day of the contract and the price at which the agreement is made. The Series may use futures contracts in the normal course of pursuing its investment objective. The Series may invest in futures contracts to hedge its existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions. Upon entering into a futures contract, the Series deposits cash or pledges US government securities to a broker, equal to the minimum “initial margin” requirements of the exchange on which the contract is traded. Subsequent payments are received from the broker or paid to the broker each day, based on the daily fluctuation in the market value of the contract. These receipts or payments are known as “variation margin” and are recorded daily by the Series as unrealized gains or losses until the contracts are closed. When the contracts are closed, the Series records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Risks of entering into futures contracts include potential imperfect correlation between the futures contracts and the underlying securities and the possibility of an illiquid secondary market for these instruments. When investing in futures, there is reduced counterparty credit risk to the Series because futures are exchange-traded and the exchange’s clearinghouse, as counterparty to all exchange-traded futures, guarantees against default. At June 30, 2023, the Series posted $15,400 in cash as collateral for open futures contracts, which is included in “Cash collateral due from brokers” on the “Statement of assets and liabilities”.
During the six months ended June 30, 2023, the Series entered into futures contracts to hedge the Series’ existing portfolio securities against fluctuations in value caused by changes in interest rates or market conditions.
Options Contracts
The Series may enter into options contracts in the normal course of pursuing its investment objectives. The Series may buy or write options contracts for any number of reasons, including without limitation: to manage the Series’ exposure to changes in securities prices caused by interest rates or market conditions and foreign currencies; as an efficient means of adjusting the Series’ overall exposure to certain markets; to protect the value of portfolio securities; and as a cash management tool. The Series may buy or write call or put options on securities, futures, swaps, swaptions, financial indices, and foreign currencies. When the Series buys an option, a premium is paid and an asset is recorded and adjusted on a daily basis to reflect the current market value of the options purchased. When the Series writes an option, a premium is received and a liability is recorded and adjusted on a daily basis to reflect the current market value of the options written. Premiums received from writing options that expire unexercised are treated by the Series on the expiration date as realized gains. The difference between the premium received and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is treated as realized gain or loss. If a call option is exercised, the premium is added to the proceeds from the sale of the underlying security in determining whether the Series has a realized gain or loss. If a put option is exercised, the premium reduces the cost basis of the securities purchased by the Series. The Series, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. When writing options, the Series is subject to minimal counterparty risk because the counterparty is only obligated to pay premiums and does not bear the market risk of an unfavorable market change. No options contracts were outstanding at June 30, 2023.
During the six months ended June 30, 2023, the Series entered into option contracts to manage the Series’ exposure to changes in securities prices caused by interest rates or market conditions.
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Total Return Series
6. Derivatives (continued)
Fair values of derivative instruments as of June 30, 2023 were as follows:
| | | Liability Derivatives Fair Value | |
Statement of Assets and
Liabilities Location | | Interest
Rate
Contracts | | | Total | |
| Variation margin due to broker on futures contracts* | | $ | (9,863 | ) | | $ | (9,863 | ) |
*Includes cumulative appreciation (depreciation) of futures contracts from the date the contracts were opened through June 30, 2023. Only current day variation margin is reported on the Series “Statement of assets and liabilities.”
The effect of derivative instruments on the “Statement of operations” for the six months ended June 30, 2023 was as follows:
| | | Net Realized Gain (Loss) on: | |
| | | Foreign
Currency
Exchange
Contracts | | | Futures
Contracts | | | Options
Purchased | | | Total | |
| Currency contracts | | $ | (780 | ) | | $ | — | | | $ | — | | | $ | (780 | ) |
| Interest rate contracts | | | — | | | | (10,141 | ) | | | — | | | | (10,141 | ) |
| Equity contracts | | | — | | | | — | | | | (1,888 | ) | | | (1,888 | ) |
| Total | | $ | (780 | ) | | $ | (10,141 | ) | | $ | (1,888 | ) | | $ | (12,809 | ) |
| |
| | | Net Change in Unrealized Appreciation (Depreciation)
on: | |
| | | Foreign
Currency
Exchange
Contracts | | | Futures
Contracts | | | Total | |
| Currency contracts | | $ | 8 | | | $ | — | | | $ | 8 | |
| Interest rate contracts | | | — | | | | (8,918 | ) | | | (8,918 | ) |
| Total | | $ | 8 | | | $ | (8,918 | ) | | $ | (8,910 | ) |
The table below summarizes the average daily balance of derivative holdings by the Series during the six months ended June 30, 2023:
| | | Long Derivative
Volume | | | Short Derivative
Volume | |
| Foreign currency exchange contracts (average notional value) | | $ | 4,733 | | | $ | 2,687 | |
| Futures contracts (average notional value) | | | 552,600 | | | | 5,240 | |
| Options contracts (average notional value)* | | | 25 | | | | — | |
| * | Long represents purchased options and short represents written options. |
7. Securities Lending
The Series, along with other funds in the Delaware Funds, may lend its securities pursuant to a security lending agreement (Lending Agreement) with The Bank of New York Mellon (BNY Mellon). At the time a security is loaned, the borrower must post collateral equal to the required percentage of the market value of the loaned security, including any accrued interest. The required percentage is: (1) 102% with
respect to US securities and foreign securities that are denominated and payable in US dollars; and (2) 105% with respect to foreign securities. With respect to each loan, if on any business day the aggregate market value of securities collateral plus cash collateral held is less than the aggregate market value of the securities which are the subject of such loan, the borrower will be notified to provide additional collateral by the end of the following business day, which, together with the collateral already held, will be not less than the applicable initial collateral requirements for such security loan. If the aggregate market value of securities collateral and cash collateral held with respect to a security loan exceeds the applicable initial collateral requirement, upon the request of the borrower, BNY Mellon must return enough collateral to the borrower by the end of the following business day to reduce the value of the remaining collateral to the applicable initial collateral requirement for such security loan. As a result of the foregoing, the value of the collateral held with respect to a loaned security on any particular day, may be more or less than the value of the security on loan. The collateral percentage with respect to the market value of the loaned security is determined by the security lending agent.
Cash collateral received by the Series is generally invested in an individual separate account. The investment guidelines permit each separate account to hold certain securities that would be considered eligible securities for a money market fund. Cash collateral received is generally invested in government securities; certain obligations issued by government sponsored enterprises; repurchase agreements collateralized by US Treasury securities; obligations issued by the central government of any Organization for Economic Cooperation and Development (OECD) country or its agencies, instrumentalities, or establishments; obligations of supranational organizations; commercial paper, notes, bonds, and other debt obligations; certificates of deposit, time deposits, and other bank obligations; certain money market funds; and asset-backed securities. The Series can also accept US government securities and letters of credit (non-cash collateral) in connection with securities loans.
In the event of default or bankruptcy by the lending agent, realization and/or retention of the collateral may be subject to legal proceedings. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the lending agent has agreed to pay the amount of the shortfall to the Series or, at the discretion of the lending agent, replace the loaned securities. The Series continues to record dividends or interest, as applicable, on the securities loaned and is subject to changes in value of the securities loaned that may occur during the term of the loan. The Series has the right under the Lending Agreement to recover the securities from the borrower on demand. With respect to security loans collateralized by non-cash collateral, the Series receives loan premiums paid by the borrower. With respect to security loans collateralized by cash collateral, the earnings from the collateral investments are shared among the Series, the security lending agent, and the borrower.
The Series records security lending income net of allocations to the security lending agent and the borrower. The Series may incur investment losses as a result of investing securities lending collateral. This could occur if an investment in the collateral investment account defaulted or became impaired. Under those circumstances, the value of the Series’ cash collateral account may be less than the amount the Series would be required to return to the borrowers of the securities and the Series would be required to make up for this shortfall.
At June 30, 2023, the Series had no securities out on loan.
8. Credit and Market Risk
The global outbreak of COVID-19 resulted in travel restrictions, closed international borders, enhanced health screenings at ports of entry and elsewhere, disruption of and delays in healthcare service preparation and delivery, prolonged quarantines, cancellations, supply chain disruptions, and lower consumer demand, as well as general concern and uncertainty. The impact of COVID-19, and other infectious illness outbreaks that may arise in the future, could adversely affect the economies of many nations or the entire global economy, individual issuers and capital markets in ways that cannot necessarily be foreseen. In addition, the impact of infectious illnesses in emerging market countries may be greater due to generally less established healthcare systems. Public health crises caused by the COVID-19 outbreak may exacerbate other pre-existing political, social and economic risks in certain countries or globally. The duration of the outbreak, its full economic impact and ongoing effects at the macro-level and on individual businesses are unpredictable and may result in significant and prolonged effects on a Series’ performance.
Investments in equity securities in general are subject to market risks that may cause their prices to fluctuate over time. Fluctuations in the value of equity securities in which the Series invests will cause the NAV of the Series to fluctuate.
When interest rates rise, fixed income securities (i.e. debt obligations) generally will decline in value. These declines in value are greater for fixed income securities with longer maturities or durations. Interest rate changes are influenced by a number of factors, such as government
Notes to financial statements
Delaware VIP® Trust — Delaware VIP Total Return Series
8. Credit and Market Risk (continued)
policy, monetary policy, inflation expectations, and the supply and demand of bonds. A series may be subject to a greater risk of rising interest rates when interest rates are low or inflation rates are high or rising.
IBOR is the risk that changes related to the use of the London interbank offered rate (LIBOR) and other interbank offered rate (collectively, IBORs) could have adverse impacts on financial instruments that reference LIBOR (or the corresponding IBOR). The abandonment of LIBOR could affect the value and liquidity of instruments that reference LIBOR. The use of alternative reference rate products may impact investment strategy performance. These risks may also apply with respect to changes in connection with other IBORs, such as the euro overnight index average (EONIA), which are also the subject of recent reform.
The Series invests in bank loans and other securities that may subject it to direct indebtedness risk, the risk that the Series will not receive payment of principal, interest, and other amounts due in connection with these investments and will depend primarily on the financial condition of the borrower. Loans that are fully secured offer the Series more protection than unsecured loans in the event of nonpayment of scheduled interest or principal, although there is no assurance that the liquidation of collateral from a secured loan would satisfy the corporate borrower’s obligation, or that the collateral can be liquidated. Some loans or claims may be in default at the time of purchase. Certain of the loans and the other direct indebtedness acquired by the Series may involve revolving credit facilities or other standby financing commitments that obligate the Series to pay additional cash on a certain date or on demand. These commitments may require the Series to increase its investment in a company at a time when the Series might not otherwise decide to do so (including at a time when the company’s financial condition makes it unlikely that such amounts will be repaid). To the extent that the Series is committed to advance additional funds, it will at all times hold and maintain cash or other high grade debt obligations in an amount sufficient to meet such commitments. When a loan agreement is purchased, the Series may pay an assignment fee. On an ongoing basis, the Series may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan agreement. Prepayment penalty fees are received upon the prepayment of a loan agreement by the borrower. Prepayment penalty, facility, commitment, consent, and amendment fees are recorded to income as earned or paid.
As the Series may be required to rely upon another lending institution to collect and pass on to the Series amounts payable with respect to the loan and to enforce the Series’ rights under the loan and other direct indebtedness, an insolvency, bankruptcy, or reorganization of the lending institution may delay or prevent the Series from receiving such amounts. The highly leveraged nature of many loans may make them especially vulnerable to adverse changes in economic or market conditions. Investments in such loans and other direct indebtedness may involve additional risk to the Series.
Some countries in which the Series may invest require governmental approval for the repatriation of investment income, capital, or the proceeds of sales of securities by foreign investors. In addition, if there is deterioration in a country’s balance of payments or for other reasons, a country may impose temporary restrictions on foreign capital remittances abroad.
The securities exchanges of certain foreign markets are substantially smaller, less liquid, and more volatile than the major securities markets in the US. Consequently, acquisition and disposition of securities by the Series may be inhibited. In addition, a significant portion of the aggregate market value of equity securities listed on the major securities exchanges in emerging markets is held by a smaller number of investors. This may limit the number of shares available for acquisition or disposition by the Series.
The Series invests in REITs and is subject to the risks associated with that industry. If the Series holds real estate directly or receives rental income directly from real estate holdings, its tax status as a regulated investment company may be jeopardized. There were no direct real estate holdings during the six months ended June 30, 2023. The Series’ REIT holdings are also affected by interest rate changes, particularly if the REITs it holds use floating rate debt to finance their ongoing operations.
The Series invests in high yield fixed income securities, which are securities rated lower than BBB- by Standard & Poor’s Financial Services LLC and lower than Baa3 by Moody’s Investors Service, Inc., or similarly rated by another nationally recognized statistical rating organization. Investments in these higher yielding securities are generally accompanied by a greater degree of credit risk than higher rated securities. Additionally, lower rated securities may be more susceptible to adverse economic and competitive industry conditions than investment grade securities.
The Series invests in fixed income securities whose value is derived from an underlying pool of mortgages or consumer loans. The value of these securities is sensitive to changes in economic conditions, including delinquencies and/or defaults, and may be adversely affected by shifts in the market’s perception of the issuers and changes in interest rates. Investors receive principal and interest payments as the underlying
mortgages and consumer loans are paid back. Some of these securities are CMOs. CMOs are debt securities issued by US government agencies or by financial institutions and other mortgage lenders, which are collateralized by a pool of mortgages held under an indenture. Prepayment of mortgages may shorten the stated maturity of the obligations and can result in a loss of premium, if any has been paid. Certain of these securities may be stripped (securities which provide only the principal or interest feature of the underlying security). The yield to maturity on an interest-only CMO is extremely sensitive not only to changes in prevailing interest rates, but also to the rate of principal payments (including prepayments) on the related underlying mortgage assets. A rapid rate of principal payments may have a material adverse effect on the Series’ yield to maturity. If the underlying mortgage assets experience greater than anticipated prepayments of principal, the Series may fail to fully recoup its initial investment in these securities even if the securities are rated in the highest rating categories.
The Series invests in certain obligations that may have liquidity protection designed to ensure that the receipt of payments due on the underlying security is timely. Such protection may be provided through guarantees, insurance policies, or letters of credit obtained by the issuer or sponsor through third parties, through various means of structuring the transaction, or through a combination of such approaches. The Series will not pay any additional fees for such credit support, although the existence of credit support may increase the price of the security.
The Series may invest up to 10% of its net assets in illiquid securities, which may include securities with contractual restrictions on resale, securities exempt from registration under Rule 144A promulgated under the Securities Act of 1933, as amended (1933 Act), and other securities which may not be readily marketable. The relative illiquidity of these securities may impair the Series from disposing of them in a timely manner and at a fair price when it is necessary or desirable to do so. While maintaining oversight, the Board has delegated to DMC, the day-to-day functions of determining whether individual securities are liquid for purposes of the Series’ limitation on investments in illiquid securities. Securities eligible for resale pursuant to Rule 144A, which are determined to be liquid, are not subject to the Series’ 10% limit on investments in illiquid securities. Rule 144A securities have been identified on the “Schedule of investments.”
9. Contractual Obligations
The Series enters into contracts in the normal course of business that contain a variety of indemnifications. The Series’ maximum exposure under these arrangements is unknown. However, the Series has not had prior claims or losses pursuant to these contracts. Management has reviewed the Series’ existing contracts and expects the risk of loss to be remote.
10. Recent Accounting Pronouncements
In March 2020, FASB issued an Accounting Standards Update (ASU), ASU 2020-04, Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. The amendments in ASU 2020-04 provide optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of LIBOR and other interbank-offered based reference rates as of the end of 2021. In March 2021, the administrator for LIBOR announced the extension of the publication of a majority of the USD LIBOR settings to June 30, 2023. On December 21, 2022, FASB issued ASU 2022-06 to defer the sunset date of Accounting Standards Codification Topic 848 until December 31, 2024. ASU 2020-04 is effective for certain reference rate-related contract modifications that occur during the period March 12, 2020 through December 31, 2024. Management is currently evaluating ASU 2020-04 and ASU 2022-06, but does not believe there will be a material impact.
11. New Regulatory Pronouncement
In October 2022, the Securities and Exchange Commission (SEC) adopted a rule and form amendments relating to tailored shareholder reports for mutual funds and ETFs; and fee information in investment company advertisements. The rule and form amendments will require mutual funds and ETFs to transmit streamlined shareholder reports that highlight key information to investors. The rule amendments will require that certain more in-depth information be made available online and available for delivery free of charge to investors on request. The amendments became effective in January 2023 and there is an 18-month transition period after the effective date of the amendment with a compliance date of July 2024.
12. Subsequent Events
Management has determined that no material events or transactions occurred subsequent to June 30, 2023, that would require recognition or disclosure in the Series’ financial statements.
Other Series information (Unaudited)
Delaware VIP® Trust — Delaware VIP Total Return Series
Liquidity Risk Management Program
The Securities and Exchange Commission (the “SEC”) has adopted Rule 22e-4 under the Investment Company Act of 1940 (the “Liquidity Rule”), which requires all open-end funds (other than money market funds) to adopt and implement a program reasonably designed to assess and manage the fund’s “liquidity risk,” defined as the risk that the fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund.
The Series has adopted and implemented a liquidity risk management program in accordance with the Liquidity Rule (the “Program”). The Board has designated a member of the US Operational Risk Group of Macquarie Asset Management as the Program Administrator for each Series in the Trust.
As required by the Liquidity Rule, the Program includes policies and procedures that provide for: (1) assessment, management, and review (no less frequently than annually) of the Series’ liquidity risk; (2) classification of each of the Series’ portfolio holdings into one of four liquidity categories (Highly Liquid, Moderately Liquid, Less Liquid, and Illiquid); (3) for funds that do not primarily hold assets that are Highly Liquid, establishing and maintaining a minimum percentage of the Series’ net assets in Highly Liquid investments (called a “Highly Liquid Investment Minimum” or “HLIM”); and (4) prohibiting the Series’ acquisition of Illiquid investments if, immediately after the acquisition, the Series would hold more than 15% of its net assets in Illiquid assets. The Program also requires reporting to the SEC (on a non-public basis) and to the Board if the Series’ holdings of Illiquid assets exceed 15% of the Series’ net assets. Series with HLIMs must have procedures for addressing HLIM shortfalls, including reporting to the Board and, with respect to HLIM shortfalls lasting more than seven consecutive calendar days, reporting to the SEC (on a non-public basis).
In assessing and managing the Series’ liquidity risk, the Program Administrator considers, as relevant, a variety of factors, including: (1) the Series’ investment strategy and liquidity of portfolio investments during both normal and reasonably foreseeable stressed conditions; (2) short-term and long-term cash flow projections for the Series during both normal and reasonably foreseeable stressed conditions; and (3) the Series’ holdings of cash and cash equivalents and any borrowing arrangements. Classification of the Series’ portfolio holdings in the four liquidity categories is based on the number of days it is reasonably expected to take to convert the investment to cash (for Highly Liquid and Moderately Liquid holdings) or to sell or dispose of the investment (for Less Liquid and Illiquid investments), in current market conditions without significantly changing the investment’s market value. The Series primarily holds assets that are classified as Highly Liquid, and therefore is not required to establish an HLIM.
At a meeting of the Board held on May 23-25, 2023, the Program Administrator provided a written report to the Board addressing the Program’s operation and assessing the adequacy and effectiveness of its implementation for the period from April 1, 2022 through March 31, 2023. The report concluded that the Program is appropriately designed and effectively implemented and that it meets the requirements of Rule 22e-4 and the Series’ liquidity needs. The Series’ HLIM is set at an appropriate level and the Series complied with its HLIM at all times during the reporting period.
The Series files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year on Form N-PORT. The Series’ Form N-PORT, as well as a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities, is available without charge (i) upon request, by calling 800 523-1918; and (ii) on the SEC’s website at sec.gov. In addition, a description of the policies and procedures that the Series uses to determine how to vote proxies (if any) relating to portfolio securities and the Schedule of Investments included in the Series’ most recent Form N-PORT are available without charge on the Series’ website at delawarefunds.com/vip/literature.
Information (if any) regarding how the Series voted proxies relating to portfolio securities during the most recently disclosed 12-month period ended June 30 is available without charge (i) through the Series’ website at delawarefunds.com/proxy; and (ii) on the SEC’s website at sec.gov.
(3031246)
SA-VIPTR-0823
Not applicable.
| Item 3. | Audit Committee Financial Expert |
Not applicable.
| Item 4. | Principal Accountant Fees and Services |
Not applicable.
| Item 5. | Audit Committee of Listed Registrants |
Not applicable.
(a) Included as part of report to shareholders filed under Item 1 of this Form N-CSR.
(b) Divestment of securities in accordance with Section 13(c) of the Investment Company Act of 1940.
Not applicable.
| Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies |
Not applicable.
| Item 8. | Portfolio Managers of Closed-End Management Investment Companies |
Not applicable.
| Item 9. | Purchases of Equity Securities by Closed-End Management Investment Companies and Affiliated Purchasers |
Not applicable.
| Item 10. | Submission of Matters to a Vote of Security Holders |
Not applicable.
| Item 11. | Controls and Procedures |
The registrant’s principal executive officer and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the Investment Company Act of 1940 (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the
Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)) and provide reasonable assurance that the information required to be disclosed by the registrant in its reports or statements filed under the Securities Exchange Act of 1934 is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the Securities and Exchange Commission.
There were no significant changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d)) that occurred during the period covered by the report to stockholders included herein that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.
Item 12. Exhibits
Not applicable.
(2) Certifications of Principal Executive Officer and Principal Financial Officer pursuant to Rule 30a-2 under the Investment Company Act of 1940 are attached hereto as Exhibit 99.CERT.
(3) Written solicitations to purchase securities pursuant to Rule 23c-1 under the Securities Exchange Act of 1934.
Not applicable.
(b) Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 are furnished herewith as Exhibit 99.906CERT.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf, by the undersigned, thereunto duly authorized.
DELAWARE VIP® TRUST
| /s/ SHAWN K. LYTLE | |
| By: | Shawn K. Lytle | |
| Title: | President and Chief Executive Officer | |
| Date: | September 5, 2023 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| /s/ SHAWN K. LYTLE | |
| By: | Shawn K. Lytle | |
| Title: | President and Chief Executive Officer | |
| Date: | September 5, 2023 | |
| | |
| /s/ RICHARD SALUS | |
| By: | Richard Salus | |
| Title: | Chief Financial Officer | |
| Date: | September 5, 2023 | |
